What does Gatsby tell Nick about himself?

In Chapter Four, Gatsby claims to descend from a prominent Midwestern family, when Nick asks him which Midwestern city he comes from, Gatsby hesitates, then says "San Francisco." He rattles off an absurdly long list of accomplishments: he claims to have studied at Oxford and lived in all of the capitals of Europe; then he enlisted in the war effort, where he was rapidly promoted to major and decorated by every Allied government, including Montenegro. He pulls out a photograph of himself in Oxford cricket whites, as well as a medal awarded by the government of Montenegro, in order to corroborate his story.