Question: In what country was the fictional 1st Special Air Service Brigade formed?

Context paragraphs:
List of World War II British airborne battalions: The World War II British airborne forces consisted of the Parachute Regiment, the Glider Pilot Regiment, the airlanding battalions and from 1944 the Special Air Service Brigade.

Artists Rifles: The Artists Rifles is a regiment of the British Army Reserve.  Raised in London in 1859 as a volunteer light infantry unit, the regiment saw active service during the Second Boer War and World War I, earning a number of battle honours.  It did not serve outside Britain during World War II, as it was used as an officer training unit at that time.  The regiment was disbanded in 1945, but in 1947 it was re-established to resurrect the Special Air Service Regiment.  Today, the full title of the Regiment is 21 Special Air Service Regiment (Artists) (Reserve) (21 SAS(R)) and with 23 Special Air Service Regiment (Reserve) (23 SAS(R)), it forms the Special Air Service (Reserve) (SAS(R)).

1st Special Service Brigade: The 1st Special Service Brigade was a commando brigade of the British Army.  Formed during the Second World War, it consisted of elements of the British Army (including British Commandos) and the Royal Marines.  The brigade's component units saw action individually in Norway and the Dieppe Raid (in France), before being combined under one commander for service in Normandy during Operation Overlord.  On 6 December 1944, the Brigade was redesignated 1st Commando Brigade, removing the hated title "Special Service" and its association with the German SS.

Cairo: Cairo ( ; Arabic: القاهرة‎ ‎ "al-Qāhirah ", , Coptic: "Kahire ") is the capital and largest city of Egypt.  The city's metropolitan area is the largest in the Middle East and the Arab world, and the 15th-largest in the world, and is associated with ancient Egypt, as the famous Giza pyramid complex and the ancient city of Memphis are located in its geographical area.  Located near the Nile Delta, modern Cairo was founded in 969 CE by the Fatimid dynasty, but the land composing the present-day city was the site of ancient national capitals whose remnants remain visible in parts of Old Cairo.  Cairo has long been a center of the region's political and cultural life, and is titled "the city of a thousand minarets" for its preponderance of Islamic architecture.  Cairo is considered a World City with a "Beta +" classification according to GaWC.

1st SAS Brigade: The 1st Special Air Service Brigade (1st SAS) was a fictional brigade during the Second World War.  It was first formed in Cairo in 1941, as part of a deception by Brigadier Dudley Clarke, to play on Italian fears of airborne attacks.  Clarke used documents, photographs, news reports and even fake SAS soldiers to plant information about the brigade – he even named the Cairo-based deception department, 'A' Force, to bolster evidence of their existence.

Derek Mills-Roberts: Brigadier Derek Mills-Roberts, CBE, DSO and bar, MC (23 November 1908 – 1 October 1980) was a British commando who fought with the 1st Special Service Brigade during World War II.  In a quirk of military history, he became the only Allied soldier to strike an enemy flag officer with the latter's own staff-of-office — when Mills-Roberts bashed Erhard Milch over the head with the just-surrendered marshal's baton.

Operation Houndsworth: Operation "Houndsworth" was the codename for a British Special Air Service operation during the Second World War.  The operation carried out by 'A' Squadron, 1st Special Air Service between 6 June and 6 September 1944, was centred on Dijon in the Burgundy region of France.  Their objective was to disrupt German lines of communication, coordinate the activities of the French Resistance and prevent German reinforcements moving to the Normandy beachheads especially the 2nd SS Panzer Division Das Reich.

Cervia Air Base: Cervia Air Base (ICAO: LIPC) is an air base of the Italian Air Force (Aeronautica Militare).  It is located in northern Italy, approximately 6 km southwest of Cervia, in the province of Ravenna (Emilia-Romagna).  It was the home of the 5th Fighter Wing, which flew leased US Air Force Lockheed Martin F-16 Falcon.  It is also a NATO air base and is visited by other NATO air forces on a routine basis.  After Italy returned the leased F-16 to the US Air Force the 5th Fighter Wing was disbanded and in its place the 1st Special Air Brigade moved to Cervia.  Along with the 1st Special Air Brigade arrived the 15th CSAR Wing - the Italian air force's Combat Search and Rescue wing.

23 Special Air Service Regiment (Reserve): 23 Special Air Service Regiment (Reserve) (23 SAS(R)) is a regiment of the British Army Reserve.  Together with 21 Special Air Service Regiment (Artists) (Reserve) (21 SAS(R)), it forms the Special Air Service (Reserve) (SAS(R)).  Unlike the regular SAS Regiment it accepts members of the general population without prior military service.

Operation Bulbasket: Operation "Bulbasket" was an operation by 'B' Squadron, 1st Special Air Service (SAS), behind the German lines in German occupied France, between June and August 1944.  The operation was located to the east of Poitiers in the Vienne department of south west France; its objective was to block the Paris to Bordeaux railway line near Poitiers and to hamper German reinforcements heading towards the Normandy beachheads, especially the 2nd SS Panzer Division – "Das Reich".

Supporting paragraphs: 1st SAS Brigade Cairo
Answer: Egypt