I believe that’s a legend. He was born in a bedroom at Blenheim Palace, the seat of his relatives the Dukes of Marlborough, two months early.
Though since this was 7 months after the wedding, it is reasonable to assume a lot of people were counting on their fingers and giggling.
I’d forgotten the name of the Palace, even though I have visited there. I was told the story of the untimely birth by our guide while standing in the (legendary?) room.