There is no direct correlation between the operation of the injection system and the gear selected. If the fuel injection system is out of whack and has difficulty catching it's self and stabilizing idle speed and you are slower to make the change into second than any other gear, I would say that would be the only correlation that would make sense.
Does the car have a difficult time keeping idle at any other time? Are you only noticing this issue when the engine is still cold, does it go away when warmed up? Does it do it with the A/C running and/or if off?