A first observation is presented for the electroweak production of a W boson, a photon, and two jets in proton-proton collisions. The W boson decays are selected by requiring one identified electron or muon and an imbalance in transverse momentum. The two jets are required to have a high dijet mass and a large separation in pseudorapidity. The measurement is based on data collected with the CMS detector at a center-of-mass energy of 13 TeV, corresponding to an integrated luminosity of 35.9 fb^-1. The observed (expected) significance for this process is 4.9 (4.6) standard deviations. After combining with previously reported CMS results at 8 TeV, the observed (expected) significance is 5.3 (4.8) standard deviations. The cross section for the electroweak Wγjj production in a restricted fiducial region is measured as 20.4 ± 4.5fb and the total cross section for Wγ production in association with 2 jets in the same fiducial region is 108 ± 16fb. All results are in good agreement with recent theoretical predictions. Constraints are placed on anomalous quartic gauge couplings in terms of dimension-8 effective field theory operators.