There is some truth to this - secret watermarks are imbedded in most printed paper. This is done separately from any requirement for ballot watermarking, which may or may not exist, depending on jurisdiction.
This secret “serial number” is how they caught the girl from Georgia who was leaking info to the press. She posted printouts of some of the information she had, which allowed them to track down the printer to her office.
https://blog.erratasec.com/2017/06/how-intercept-outed-reality-winner.html
I’m not saying this is true, but it is very possible.
1. All states get ballots from private printing companies.
2. All printing companies get their ballot cardstock from a handful of the same private companies.
3. Law enforcement works with private companies on missions all the time.