Who said the following: "Well, they say he's a nephew or a cousin of Kaiser Wilhelm's. That's where all his money comes from."
In Chapter 2, Nick is speaking with Myrtle's sister, Catherine. Nick reveals that he has recently been a guest at one of Gatsby's parties, and it is Catherine who then says, about Gatsby, "they say he's a nephew or a cousin of Kaiser Wilhelm's. That's where all his money comes from." Kaiser Wilhelm was the German Emperor from 1888 until his abdication in 1918.
In the same conversation with Nick, Catherine also says that she is "scared" of Gatsby, and that she would "hate to have him get anything" on her. This is likely an oblique reference to Gatsby's connections with gangsters. These connections are implied throughout the story, and are most strongly suggested by Gatsby's relationship with Meyer Wolfsheim.
There are, in the early chapters of the book, lots of curious rumors about Gatsby besides Catherine's suggestion that he is a relation of Kaiser Wilhelm. In Chapter 3, for example, at one of Gatsby's parties, one of the guests suggests that he "killed a man once," and another proposes that "he was a German spy during the war."
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