1ACV03: I, Roomate
This is the very first scene where we can see Leela wearing her "captain's jacket". This is a normal green jacket that Leela wears really often.
Here's another nicer picture taken from Futurama Scan Art Central (Scan art by Paul A. Metcalfe, image from 2ACV19: The Cryonic Woman)
And here's another pic by Jon Dixon.