I believe she was born in Mozambique, the daughter of a wealthy Portuguese doctor - back in the days when that was a Portuguese colony. The family had enough money to send her off to private schools in Europe. She was in Switzerland at the time she met John Heinz.
There was a big flap a few weeks ago when she insisted that she be referred to in the press as an "African-American". A large number of prominent A-A's loudly objected! Heh heh.