Gatsby very much wants Nick to help him in his quest to reunite with Daisy so he takes him to lunch in the city. On the drive in, Gatsby knows it is important to dispel some of the rumors Nick would have heard about him at his party. So he offers to tell Nick about his past.
What Gatsby tells is a mix lies and truth. He says he comes from a rich midwestern family, but then undermines that by saying the "midwestern" town he comes from is San Francisco, which is on the west coast. He also says he has hunted big game in the capital cities of Europe, which is impossible, as big game, such as lions and tigers, are not wandering around those cities. Nick has to avoid laughing and thinks:
The very phrases were worn so threadbare that they evoked no image except that of a turbaned "character" leaking sawdust at every pore as he pursued a tiger through the Bois de Boulogne.
In other words, Nick believes that this cliched story comes straight from cheap dime store novels Gatsby has read. Gatsby also tells Nick that he is an Oxford graduate, a tradition that goes back generations in his family, and that he was decorated as a war hero in World War I by the country of Montenegro.
Nick believes none of it, but then Gatsby, like a good con artist, is able to produce the war medal and a photograph of himself at Oxford, which helps convince Nick the story is true. The story is a mix of truth and falsehood, though mostly falsehood, which is how a con man would operate.