Never heard him actually say so, no.
The one place he may have, would be in 'Dreams From My Father' - written while his mother was still alive IIIRC. If the question of his PLACE of birth is NOT mentioned in that book, then I imagine who-ever wrote it had good reason to leave it out.
Who has a copy?
Gonna make me look, aren't ya?
A month. That’s how long we would have together, the five of us in my grandparents’ living room most evenings, during the day on drives around the island or on short walks past the private landmarks of a family: the lot where my father’s apartment had once stood; the remodeled hospital where I had been born; my grandparents’ first house in Hawaii, before the one on University Avenue, a house I had never known.
Also:
Her chin had begun to tremble, and she bit down on her lip, steadying herself. She said, “Your father wrote back, saying he was going ahead with it. Then you were born, and we agreed that the three of us would return to Kenya after he finished his studies. But your grandfather Hussein was still writing to your father, threatening to have his student visa revoked. By this time Toot had become hysterical-she had read about the Mau-Mau rebellion in Kenya a few years earlier, which the Western press really played up-and she was sure that I would have my head chopped off and you would be taken away.
Fred do you happen to have a picture of Michelle jumping into Obama's arms at the Ocean where they put his grandma's remains.