Continuity: Carlos asks Illya if he's an American, and Illya nods in agreement. He's not undercover and has no reason to lie, so maybe he's suffering from temporary amnesia. He's a Russian citizen working for an international organization HQ'd in New York. He lived in the US, but was never an American.
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Trivia
Thrush, U.N.C.L.E.'s nemesis organization, was an international bad-guy conglomerate with the single-minded goal of taking over the world. Though "Thrush" was never an acronym on the show itself, U.N.C.L.E. novelist David McDaniel assigned it a meaning that became fan canon: he called it the Technological Hierarchy for the Removal of Undesirables and the Subjugation of Humanity. That pretty much described Thrush's nefarious ambitions to a T. See more...
The Man From U.N.C.L.E. (1964) - 4 mistakes in "The Fiery Angel Affair"
The Fiery Angel Affair (season 4, episode 9)
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