What is Initial UE Message in 5G?

It is the NGAP message sent by the NG-RAN to the AMF to forward the UE's first uplink NAS message and establish the initial UE-associated NG signaling context.

Is Initial UE Message a NAS message?

No. It is an NGAP message that transports a NAS-PDU inside it.

What NAS message is usually carried in Initial UE Message?

Common examples are Registration Request and CM-IDLE Service Request related NAS messages.

What is the difference between Initial UE Message and Uplink NAS Transport?

Initial UE Message is used for the first uplink NAS transfer when no UE-associated NG context has been set up yet. Uplink NAS Transport is used later once the UE-associated NG context already exists.