Well, as we're never actually shown flashbacks to Ramirez's supposed early days in Egypt, all we really have to go on is his word. And that's called into question when he initially describes himself as a Spaniard, then later reinvents himself as an Egyptian. Connor himself draws attention to the inconsistency, which gives Ramirez an opportunity to explain himself. But does he take it? Nope. I mean, how easy would it have been to say you were first discovered in Egypt (since immortals are foundlings and know very little of their birth), then opted to assume a Spanish identity for whatever reason? Not terribly difficult. Instead, he pretty much gaslights Connor, making it seem like he's dense for missing details that were never shared. lol
Now, just to be clear, I'm not ruling out the possibility that he is what he says he is, but there's definitely sufficient reason to suspect him of being dubious here. And again, that he chooses to address Connor's concerns in a rather flippant manner is pretty damn telling to me.
I know there are comics and other literary works that have since attempted to clarify and flesh out his origins, but that stuff, along with the movie sequels which go off in an entirely different direction, is pretty extraneous to me.