Part of the intrigue surrounding Jay Gatsby is his unknown origins. Guests at his parties speculate wildly about his past: some think he once killed a man, while others think he was a German spy during the Great War, and some suspect that he's a bootlegger; one woman believes that "he doesn't want any trouble with anybody" because he seems to interested in keeping everyone happy. And, to top it all off, no one ever sees him. No one at the party even seems to know what he looks like.
Later, when Gatsby first begins to tell Nick his history, it simply seems too cliche and fairy-tale crazy to be true. Gatsby talks about having come into a great deal of money when his entire family perished, living like "a rajah" in Europe, and so on, and Nick says that listening to him "was like skimming hastily through a dozen magazines." Nick cannot believe the stories until Gatsby produces pictures and medals to prove his tale is true. Fitzgerald allows readers to get to know Gatsby in much the same way that Nick does. If he'd had Nick tell us the real story of James Gatz early on, we wouldn't be able to experience the mystery of Gatsby, and the persona that he creates is part of what makes him so "great," part of what makes Nick like him, despite the fact that Gatsby "represented everything for which [Nick has] an unaffected scorn." His mystique is important to his character, and so Nick ought to wait to tell us the real story if Fitzgerald wants us to be drawn in by that persona.