Aha, got it. Although I did check with Google. 
For those who don’t want to play guessing games in GQ, see the fifth paragraph here. (There are better accounts, but not available online AFAIK.)
Well, that does fit with their love for small islands.
IIRC, they lease a villa in or adjacent to Rome which is given sovereign-nation recognition by Italy, though they don’t own it.
“How big’s your country?”
“Oh, about two acres, at least until the lease runs out.” 
Oy, talk about your moveable feasts.