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I wouldn't be surprised if the boss has a Western connection, but the Nanatsu no ko song is a dead giveaway the boss spent a good deal of time in/was raised in Japan. Nobody outside of Japan is familiar with that tune. All known confirmed facts about the boss are listed on the wiki page. If it's not there, it's probably a rumor. The boss's nationality has not been confirmed at this point. To be fair, the FBI may only be involved with the BO because the BO extended its reach from Japan to the United States (and possibly other countries like England), and caused criminal trouble that attracted the domestic agency. The FBI may not have realized right away they were dealing with an international mafia-like organization. Also the FBI actually has overseas offices attached to embassies, including one in Japan. They help with crimes that cross national boundaries.

Of course the connection is there (maybe because Gosho helped greatly with the research for the movie script and is now recycling the new knowledge of Hyakunin Isshu), though the way this guy was set-up seems too badass/cool for Gosho to just have him be another character for the movie. Plus, he gave himself the localized name of Dr. Watson from the first Japanese translation of A Study in Scarlet before they also used the original names over there (even with the exact same kanji and with claiming to be medical personnel he even has a similar profession) and I really doubt that Gosho would give that to a character that is not relevant to the main plot of the manga but rather a side story that's currently more important for Movie 21.