Apparently, in Lupin III: Green Vs. Red, Zenigata is seen with a file that states Lupin's place of birth as unknown. However, according to this page, this particular work is not considered canon.
Lupin often refers to himself as French, Zenigata often says he's Japanese and on one occasion Lupin himself stated he's half-French, half-Japanese.
We know both his grandfather and father were French, but we know nothing about his mother (at least I think not).
Is there any source that states where he was born, what his mother's nationality is, or anything else that might suggest his nationality?