This conversation happens in Chapter 4 as Gatsby is telling Nick about his past. There is a huge amount of controversy about this among scholars who study Fitzgerald and his writing.
Most of the stuff I have read argues that this is simply an error. These scholars say that Fitzgerald made a lot of dumb mistakes like this. They say that his editors usually caught them but that his editor was on vacation and this slipped by.
So I guess that I would say that Nick does not surmise anything because Fitzgerald did not mean this to be a mistake in Gatsby's story. Nick does wonder if Gatsby is pulling his leg, but it's because Gatsby says his family is all dead, not because of the geographic thing.
“My family all died and I came into a good deal of money.”
His voice was solemn, as if the memory of that sudden extinction of a clan still haunted him. For a moment I suspected that he was pulling my leg, but a glance at him convinced me otherwise.