I cant find my great grandfather Nicholas Mertens on any manifests. He supposedly was born in Luxembourg in 1898 and moved to NYC 1902-1908 according to the censuses. I cant find his naturalization papers to confirm. I have to order them. I don't know his real fathers name (it is unclear if his bio dad died right before or after moving to America) but he had a step father by 1910 named Phillip Colling. His mothers name was Marie. I've tried Ancestry, Ellisisland and Castlegarden just to be sure and I cant find them. Help?