Ironically, Nick Carraway narrates that the many who accepted Gatsby's hospitality "paid him the subtle tribute of knowing nothing whatever about him." For, Gatsby has manufactured an illusion about himself that depends upon no one knowing nothing of him.
On the morning that Gatsby pulls into Nick's driveway, Nick remarks that Gatsby, in fact, "had little to say." So, when Gatsby launches into his biographical history, Nick is rather taken aback on their "disconcerting ride" as he feels that hearing Gatsby's story is rather like skimming quickly through several magazines. And, that Gatsby lacks credibility is evident in his remark that his family, who all are deceased (conveniently for Gatsby), left him "a good deal of money." Furthering his lack of credibility, Gatsby tells Nick that they were from the "middle-west"; however, when Nick asks, "What part of the middle-west?" Gatsby responds "San Francisco."
In Chapter 4, Gatsby tells Nick that his (Gatsby's) parents were wealthy mid-westerners and that he inherited his fortune from them. Nick questions Gatsby's story of his past, especially after meeting Meyer Wolfshiem later in that same chapter.
Jay Gatsby spins quite a yarn about himself in chapter four of F. Scott Fitzgerald's novel The Great Gatsby. By this time, narrator Nick Carraway has heard many rumors about the mysterious man. He had heard that Gatsby is a bootlegger, that he is an Oxford man, and that he once killed a man, among other rumors. Gatsby invites Nick to lunch and then asks Nick to tell him what his opinion of him is. When Nick appears to be caught off guard, Gatsby explains that he doesn't want him to get the wrong idea from all the stories that abound about him. Gatsby's ostentatious displays of wealth and enigmatic ways leave a lot of cause for speculation about how he acquired his fortune.
"'I'll tell you God's truth.' His right hand suddenly ordered diving retribution to stand by. 'I am the son of some wealthy people in the middle-west--all dead now. I was brought up in America but educated at Oxford because all my ancestors have been educated there for many years. It is a family tradition.'
He looked at me sideways, and I knew why Jordan Baker had believed he was lying."
When Nick questions what part of the "middle-west" Gatsby's family is from, Gatsby responds with "San Francisco," which is a strange response considering that it is located on the California coast and nowhere near the midwest. He tells Nick that when all of his family died, he came into a good deal of money. He then tells Nick about his time in the military during the Great War. He tells him he was promoted to Major and earned medals of honor. When he produces the medal and a picture of himself in the quad at Oxford, Nick believes the whole of Gatsby's story is true. Gatsby explains that he is about to ask Nick for a favor, and he wanted Nick to know that he wasn't just some nobody. The favor he is asking of Nick is that he wants him to ask his cousin Daisy over for tea.
Nick finds out the truth about Gatsby in chapter six when a reporter shows up with information and asks Gatsby to give a statement. It turns out that his real name is Jay Gatz, and he is the son of dirt-poor farmers. He earned his wealth through bootlegging in the time of prohibition.