Because of the way SPI works, the slave cannot respond to the first byte in a meaningful way. It can send something (eg. 0x00) but not a response.
See my page about SPI. During an SPI transfer each bit is sent, and a bit received, simultaneously, as in this graphic:
You can see that as the first bit is received by the slave, it also has to send a response. There is no way that this response can react to the 8 bits, 7 of which haven't been received yet, by the time it has to send the first bit of response.
But i always have to send 2 bytes for the correct response.
You don't have to send 2 bytes all the time. For example, you can send one byte (eg. "send me the temperature") and then send zeroes after that, while you read back a (say) 4-byte temperature. So in this case you send 5 bytes to get a 4-byte response.