What story of his background does Gatsby first tell Nick?
Gatsby tells Nick that he came from money and "'lived like a young rajah in all the capitals of Europe'" after going to Oxford (as everyone in his family had done before him -- he claims it was a family tradition). Gatsby also claims that he went to fight in the war and that he "'tried very hard to die,'" but he just couldn't do it because he seemed to live "'an enchanted life.'" He actually even says that the war was a "'relief,'" presumably because it distracted him from whatever very sad thing that had happened to him that he was trying to forget. Nick doubts pretty much everything Gatsby says, feeling like he's been skimming through magazines as he's listened to all of Gatsby's stories. However, once Gatsby produces some souvenirs -- an old photograph and a medal -- Nick begins to believe him.
Gatsby tells Nick both his parents were wealthy but are now deceased, and they lived in the Midwest. He was educated at Oxford, and then he inherited all of the family's money and lived very well in the cities of Europe. All of this time, Gatsby said he was trying to forget something bad that had happened in his life, and he promised to tell Nick about it later that day. Because of that experience, Gatsby said he had wanted to die in the war, but was instead promoted and decorated for bravery. Later, Nick realizes that the only thing that was true of this account was that Gatsby had been at Oxford.