Is there a way to search webelement on a main window first, if not found, then start searching inside iframes?

Yes, you can write a loop to go through all the iframes if the element not present in the main window.
Java Implementation:

 if (driver.findElements(By.xpath("xpath goes here").size()==0){
     int size = driver.findElements(By.tagName("iframe")).size();
     for(int iFrameCounter=0; iFrameCounter<=size; iFrameCounter++){
        driver.switchTo().frame(iFrameCounter);
        if (driver.findElements(By.xpath("xpath goes here").size()>0){
            System.out.println("found the element in iframe:" + Integer.toString(iFrameCounter));
            // perform the actions on element here
        }
        driver.switchTo().defaultContent();
    }
 }

Python Implementation

# switching to parent window - added this to make sure always we check on the parent window first
driver.switch_to.default_content()

# check if the elment present in the parent window
if (len(driver.finds_element_by_xpath("xpath goes here"))==0):
    # get the number of iframes
    iframes = driver.find_elements_by_tag_name("iframe")
    # iterate through all iframes to find out which iframe the required element
    for iFrameNumber in iframes:
        # switching to iframe (based on counter)
        driver.switch_to.frame(iFrameNumber+1)
        # check if the element present in the iframe
        if len(driver.finds_element_by_xpath("xpath goes here")) > 0:
            print("found element in iframe :" + str(iFrameNumber+1))
            # perform the operation here
        driver.switch_to.default_content()