This is not going to be pretty...teetering on the edge of politics here...but let's just say it right now, you have no right to ask if they are here legally or not..
I think I tread on thin ice sometimes asking where the accent came from. I love to know where certain accents arise. They may have given a US address, but where did they come from originally? I always want to know that. And I know some people really don't want to say. So, when I get that hesitancy, no matter where they say they're 'from' I always say, 'Wow, that's neat.'
Had a great chat with 2 Aussies the other day who were looking for 'extreme' sports to do around here. (OK, nowhere in any parallel universe would anyone think of here when they think 'extreme sports'.) So, I said, 'You could go surfing, but the surf here is nothing like you have at home.'
They looked startled and said, 'We're from Australia.' To which I replied, 'With an accent like that, where else would you be from?'
They told me over the course of just that day they had been asked if they were from: Canada, Scotland, the UK, Spain, Denmark and a couple of other places. But not Australia.