No, it isn't true. Jesus was born in that part of the Middle East, which touches three continents: Asia, Africa and Europe. This, I believe, is a symbol of His universal appeal, because Jesus Christ is for all people. The Bible says that in heaven there will be people "from every tribe and language and people and nation" (Revelation 5:9).
I encourage you, therefore, to find out more about Christianity. How can you do this? One way might be to study its parts -- that is, to look at all the churches and organizations that claim to be Christian. But that would be confusing and complicated, and wouldn't really introduce you to Christianity.
Instead, I urge you to study the life and teachings of Jesus Christ, for He is the foundation of the Christian faith. You'll learn about Him in a book called the Bible, especially in the latter part of it called the New Testament. I suggest you begin by reading the Gospel of John, which tells us who Jesus was and what He did. It was written, the author says, so "you may believe that Jesus is the Christ, the Son of God, and that by believing you may have life in his name" (John 20:31).
As you read, you'll discover that Jesus wasn't just another religious teacher. He was God in human flesh, sent from Heaven to deliver us from our captivity to sin and death. But more than that, you'll discover that God loves you and wants to come into your life -- and He will as you give yourself to Christ.