Never in America!!

So my friend Sarah and I have this manzai (Japanese comedy) group and sometimes we take our show on the road without even realizing! But anyway, part of our "persona" is that when people ask us where we are from (which people do every ten seconds in Japan) we won't tell them WHICH country, and hilarity ensues as they continue to ask. So.... anyway, we are in Shibuya, and we want to go to Mr. Donuts so we hit up a police box (aka: directions box).

Sarah: is there a mr. donuts around here?
big cop: oh... no there isn't! but there is an "and on and" that's a new donut shop that's a step above mr. donuts.
Sarah: oh, sure, where is that?
big cop: (points at map and gives directions)
little cop: (loosely points at the map and softly repeats what big cop said)
Sarah: great, thanks.
big cop: hey, your japanese is really good? Where are you from?
(Sarah and I look at each other... the perfect chance to do our act!)
Sarah: from.... gaikoku... (foreign country)
big cop: but from which COUNTRY?
me: from a country in gaikoku.
Sarah: we're both from the same country.
big cop: ok, so where is the country that you come from?
me: it's..... abroad.
little cop (in english): where country?
me (in english): foreign country.
(little cop and big cop look at each other)
little cop: what does "foreign country" mean?
big cop: i think it means "gaikoku"
(they both laugh)
big cop: where are you from?
sarah: from a foreign country.
big cop: but what is the NAME of that country?
(we both think "crap!")
sarah: it's that country.... that country that's abroad...
(cops laugh)
Sarah: actually, we have a comedy group!
big cop: wow!!! are you on TV?
Sarah: no... unfortunately.
little cop: what is your groups name?
Sarah and me: gaijin dantai! (foreigner group)

So..... we:
a. asked cops where a donut shop was
b. when asked, refused to tell the cops where we come from