Sorry to burst your bubble a bit, but its highly unlikely your family was involved in any sort of US intelligence gathering prior to World War Two. It was well known that US intelligence gathering capabilities were severely limited during that time period. In fact, up until the founding of the OSS in the midst of World War Two, the United States lacked a dedicated, centralized intelligence agency that would've recruited your family member(s) as spies. Prior to that, most departments of the government essentially performed random intelligence gathering efforts as they felt necessary. While it's possible that your family may have gotten involved in that, working for the State Department or the like, I think its highly unlikely. The US was way behind in the intelligence gathering game and I'm not aware of any active peacetime spying efforts to keep tabs on Germany prior to World War Two. Indeed, peacetime spying was considered distasteful among the US political elite, as Truman expressed when initially presented with plans to found the CIA. It's more likely that your family members earned the interest of the Gestapo for some reason, perhaps political views, religion, relationships to certain German citizens, etc, were simply caught up in some standard policy of tailing foreigners who were spending significant lengths of time in German cities (I'm not aware of such a policy), or your grandfather misremembered a potentially scary incident such as being followed by a potential mugger or the like.