Born Joseph Johan Cosmo Nassy in Paramaribo, Suriname (Dutch Guiana), Nassy was the son of a well-to-do businessman. He descended on his father's side from Jews who had fled Spain during the Inquisition, although by his grandparents' generation the family no longer practised Judaism. In 1919, Nassy began to live with his father, who had moved to New York. He graduated from high school and, in 1926, earned a certificate in electrical engineering. In 1929, Nassy went to England, where he was employed in the installation of sound systems for a film company. The following year he was sent to Paris and then to Belgium for the same purpose. Before leaving for Europe, Nassy had obtained an American passport under the name Josef Nassy. He apparently claimed that he was born in San Francisco in 1899. Since San Francisco's public records had been destroyed in the earthquake of 1906, authorities issued the passport without further investigation.