A president must be American-born. Of course, there is no restriction on a "first lady" being foreign-born.
If you mean born in the U.S. this is not true.
Barry Goldwater, the 1964 Republican candidate, was born in the Arizona Territory in 1909 (Arizona did not become the 48th state until 1912). Goldwater lost the 1964 election to Lyndon Johnson.
George Romney, a 1968 Republican hopeful, was born in Mexico in 1907 to American parents who had moved there to escape anti-Mormon persecution in the US. (Contrary to a widely held popular misconception, by the way, Romney's parents were settlers in Mexico, not missionaries.) Romney's campaign fizzled following a gaffe about his having been "brainwashed" regarding US involvement in the Vietnam conflict.
John McCain, an early Republican hopeful in the current (2000) campaign, was born in the Panama Canal Zone in 1936 to American parents. McCain dropped out of the campaign in favor of the Republicans' eventual nominee, George W. Bush.
I mean it in the constitutional sense, which I take to include territories, or with assignments in "American" possessions, from parents in other countries, etc., and such.