@George,
I don't know why it should make you feel bad. However, leaving aside ridiculous claims about dragons, there's no reason to doubt that he actually existed. He was born to a Roman provincial family in the senatorial province of Syria Palaestina--in what is now Israel, although he was not born in the prefecture of Iudaea. His father was a Roman official, and his mother was a Palestinian, as the term was understood in the third century. We know almost nothing else about him, other than that he was a soldier in the Imperial Guard. That has never stopped people, of course, from pretending they know a lot about him.