Hi James,
Playing tennis together with your match from a dating site is a great idea for a first date and is romantic, in its own way.
It still feels intimate, as it is an interest that you both share and are able to participate in on a one on one basis, without exterior distractions. A shared interest already helps to calm the nerves and enables the both of you to be more comfortable with each other.
It acts as a safety net.
If there is a lull in conversation, you can go back to talking about tennis or something to do with the game as you both play.
Going to play tennis as a first date also gives you an opportunity or the excuse to get refreshments afterward.
Now you are able to get to know each other even better while pleasure-inducing endorphins released into your system due to the physical exertion of playing tennis shatters any sense of stress the both of you may have felt at the early stages of the date.