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I would assume that first generation college student would indicate that neither of your parents attended college anywhere. My mother dropped out in the 9th grade and I never knew my father so I would consider this to be a first generation college student as I am the first in my immediate family to attend college.
 
It doesn't matter where your parents went to college. They could have gone to Oxford or to a college in Turkmenistan. You're still not a first-generation college student.