Although I recently read her biography, I can’t remember if it was Merle Oberon or the studio system that passed off the notion that she was born in New Zealand. She was actually born in India to an Indian mother and an Irish laborer father.
Let’s not forget the apparent brother and sister duo, The White Stripes, who aren’t actually siblings, but ex-spouses. However, I don’t know if this was an actual lie perpetuated by them, or just a rumor that developed because they wouldn’t clarify their relationship.
And then, of course, there was Bob “Ethel” Merman, who throughout his career convinced most of the world he was female.
FWIW, Anton was NEVER called “Tony”, mainly because his name was Howard.
That he was a big-time charlatan, I won’t deny. His ex-wife Diane is my cousin.
Dyan Cannon said that she lied so long and so well about her age that, eventually, she realized that even her parents had lost track and were fooled.
Bill O’Reilly may or may not have exaggerated the poor circumstances he faced in childhood by making them seem a bit more humble than they actually were. Al Franken pointed this out in print, again maybe or maybe not exaggerating how badly B.O’R. had gotten carried away. The created a fairly BIG and overly emotional stink among the tiny minority that would concern itself with such things.
Marlene Dietrich flatly denied the existence of her sister Elisabeth after she discovered Elisabeth was married to a minor Nazi prison-camp official. To the end of her life, Marlene insisted she was an only child.
Of course, so many stars lied about their homosexuality that we only know for sure of a handful who were actually gay or bi (William Haines, to his credit, was one who never lied about it).
Wait… you mean the “There’s No Business Like Show Business” Ethel Merman?
T’was a joke. And a very, very funny one, I may add.
Well, I was thinking she had a suspiciously deep voice. 
I found it funny when I read that O’Brian, whose novels were rich with detail about sailing, knew nothing about actually piloting ships himself. Not that he lied about this, he just didn’t mention it.
And there’s Nigel Tufnel, who is actually Baron Christopher Haden-Guest. (So Jamie Lee Curtis is English nobility.)
I’m pretty sure the White Stripes brother-sister rumor was something Jack and Meg started.
Virtually all stars seem to lie about their ages, shaving off a couple o years. See William Poundstone’s first book of Big Secrets, where they do as bit of detective work (legal records, high school yearbooks,etc.) to ferret out real ages. One star that has pushed this as far s you can is Charo, who had her age “pushed back” in documents so far that she would’ve been underage when she married Xavier Cugat.
The all-time champ for lying about his background has to be Dianetics/Scientology founder L. Ron Hubbard. Go to www.xenu.com and look up Miller’s well-researched bio of him, Bare-Faced Messiah.
That’s not so hard… my parents forget my name all the time!
Aww, come on! You can’t leave it at that!
Come on, spill it! You know you want to… [/tempting]
More about Charles Kuralt. (I looked this up before I realized someone else posted a nice link, but darn it, here is mine) 
http://www.evesmag.com/kuralt.htm
Franken has also gotten on O’Reilly’s case for fudging the truth about winning a Peabody award.
Tell them that David Caruso, of television’s CSI: Miami and NYPD fame, claimed – possibly in a TV Guide (?) interview – to have been raised on the “mean streets of Queens” and that your GF, who is sitting beside you, is still ballistic about this, since in fact he grew up 2.5 blocks from her childhood home in The Forest Hills Gardens.
He went to private, Catholic grade school and then to Archbishop Molloy High School in Briarwood, Queens (again, no “mean streets” in sight).
Trumping Henreid, who was only a crappy baronet. Christ, I’ve had garbagemen higher in the peerage than that!
Airplane!
Ted Striker: It’s Lieutenant Hurwitz. Severe shell-shock. Thinks he’s Ethel Merman.
Lieutenant Hurwitz: [singing] You’ll be swell, you’ll be great. Gonna have the whole world on a plate. Startin’ here, startin’ now. Honey, everything’s comin’ up roses…
Ted Striker: War is hell.
While many a performer has shaved several years off her (or, less frequently, his) age, Louis Armstrong actually added a year and a month to his. Apparently, he believed he was indeed born on the symbolically resonant Fourth of July in 1900. Interestingly, the linked source gives his actual birthdate as August 4, 1901, while other sites place it three days earlier.
Then there is Lillian Hellman, of Julia fame (Vanessa Redgrave was terrific in it). Facts seem to indicate that Lillian “borrowed” another woman’s life, and made up her won involvement in it out of whole cloth.
She was pretty famous as a liar in her own circle–but the larger-than-life liar, someone who you don’t believe, but you can still cherish the out-sized nature of her personality. Someone who needs drama constantly in her life.
Her book Scoundrel Time about the McCarthy hearings, was less made up, but to read it, you would think her the Joan of Arc of the hearings, the person who personally turned them around. Actually, she was more of a small blip on the radar.
She is still a powerful writer, but there is a sort of Urban Legend feeling–she knows it is more powerful if you believe it was actually true, so she uses that.