For Gini Alhadeff, there was rarely a difference between feeling at home and feeling foreign. Born to an Italian family in Alexandria, Egypt, she lived in places as far-flung as Cairo, Khartoum, Florence, and Tokyo; raised Catholic, she did not learn of her Sephardic Jewish roots until she was living in New York in her twenties. In The Sun at Midday, Alhadeff traces her unusual ancestral history, seeking the source of her chameleon-like skills of...