Nelly was born in Texas. It kind of depends on the situation though. If they're born somewhere and spend the first five years of their life there.. then go ahead and claimed where you moved. But if you were 16 when you moved and only been in the new spot for four years... please.
I guess what it boils down to, is where you were influenced most musically. Different regions tend to have different sounds, so if you grew up in Chicago and got on that speed rap sound, then move to Atlanta... just doesn't work too well.