Should I (an undergrad) call potential industry research intern supervisor by first name?
Since he is academically your superior and you are trying to get a research position, I'd continue addressing him as Dr. X. I'd continue doing this until he directs you otherwise.

Now, if you get the internship I would continue addressing him as Dr. In person, at least initially. Eventually you may notice other people who work under him that call him by Bill. That would be a good time to say "I notice everyone else addresses you as Bill, would you prefer I address you as Bill or Dr. X.?"

Either way, don't get in a hurry to be on a first name basis.