Factual error: The night of the murder, before Jackie has her nervous outburst Ferguson is reading a magazine. It's Life magazine from January 1937 with FDR on the cover. The episode is set in January 1936 (as you can see from the date on Pennington's ticket).
Factual error: When Jacqueline surprises the Doyles revealing her presence on the boat, she was initially covering her face with the December 1938 issue of Vogue. The story is set in January 1936.
Answer: He definitely says "Belgian", but the subtitles get it wrong and show him saying "American."
Wblank71