"Henry Lee" wasn't born as such. They were a soldier in a relatively recent conflict- the result of which are not important to him anymore. He died on the battlefield, assassinated by forces no human could stand against.
And then he woke up, taken in by his new family. Their methods were dark, and cruel, but largely successful- shattering a soldier and turning him into a devoted warrior to the Norvegi families, and the Crone; bloodlust brought out and held back by discipline, memories supressed and replaced with gospel. He's not so far gone as to be a useless tool, but he is now a firm believer in The Crone. His flesh is her flesh, his body is her tool.
Once his 'training' was complete, and after a handful of jobs were completed successfully, he was sent out on a new assignment- somewhere in the states, where apparently the Norvegi had been hired. An unfortunate soldier ready to return home was consumed, and his life taken. Most loose ends erased, stateside. Evidence cleared away. Now "Henry Lee" is in New York, awaiting further instructions, taking odd jobs in the meanwhile.
He's quick to offer his services, and hasn't yet refused a job- no matter how difficult, risky, distasteful, or otherwise undesirable the task may be.