Wikipedia says:

According to the IMDb Merrill was born in Atlantic City, New Jersey. Other sources claim he was born and raised in Philadelphia in 1923. In any case he moved to New York City and later to Hollywood.

(I think we can assume that the CIA has not falsified this data.)

This is just about the bio I would have predicted for someone who thinks that Missouri, with its jazz centers of St Louis and Kansas City, would not be a place for parties, dancing, and cabarets.