When endothelial cells in blood vessels (arteries or veins) are damaged, does atheroma form first or blood clot?
It is unlikely that atheroma would develop as a complication of a thrombus. 

Atherosclerosis and thrombosis are two independent disorders and not two stages of the same disorder. Atherosclerosis is a disorder of the arterial wall and atheroma develops in the arterial wall. Thrombosis is a disorder of the blood and thrombus is merely attached to the atheroma or arterial or vein wall.

In veins, only thrombosis, but not atherosclerosis can occur, as mentioned here.

In arteries, thrombosis usually occurs only as a complication of an atheroma or calcification (PubMed, 2017):


  The majority of coronary thrombi are caused by plaque rupture
  (55–65%), followed by [plaque] erosions (30–35%), and least frequently
  from calcified nodules (2–7%).


It is very rare that thrombus develops in arteries that have previously not been damaged by atherosclerosis (PubMed, 2015).

Further evidence that thrombus formation is an unlikely initial event in the development of an atherosclerotic plaque:


Thrombosis is not mentioned as an initial stage or risk factor in development of atherosclerosis in various texts: Textbookofcardiology.org, Pathophys.org
Genetic coagulation disorders are not likely risk factors for atherosclerosis (Atherosclerosis, Table 2 (PubMed, 2010):