This is a great question, because it pierces the illusion that Jay Gatsby casts upon his friends, the readers, and even himself. It shows us who the real Gatsby is.
Jay Gatsby was born and grew up in North Dakota on a farm. He real name is also Jay Gatsby. Later he went to college, but he could not afford it. So, he worked as a janitor while taking classes. However, he could not put up with the humiliation. So, he left college. He found himself in the Great Lakes fishing. This is when he met Dan Cody, a wealthy man.
Through Dan Cody, he learns about the "good things" of life. After Cody dies, he inherits money, but Cody's wife takes it. Gatsby could do nothing but to give it. But he acquires the passion and desire to make money. He succeeded and became the "Great" Gatsby.
Jay Gatsby was born Jimmy Gatz on a poor farm in North Dakota. There he grew up, trying to improve himself and dreaming of a life far different from his own. He ran away from home to achieve those dreams. At the end of the novel, after Gatsby's death, Nick learns the truth about Gatsby's past from Gatsby's father, Henry Gatz, who shows up for the funeral.