No, he's not the offspring of someone at the US embassy:

"I don't know anything about you, I don't even know where you were born - I don't know what kind of life you lived before I met you."
"I was born in London."
That surprised her. "You're British."
"I'm an American citizen."
Hm. "Your parents are American?"
"I don't know who my parents were."
Oh, good heavens. "Have you tried to find them?"
The way he said it made it clear the matter held no interest for him, speaking of them in the past tense as if they were dead.