I don't think so?  All of his older TV show and movie credits are from Hong Kong, so that's where I'd guess he's from too. :) 
i would guess hong kong too, or at least somewhere where they use pinyin to transliterate. the way the last name is spelled suggests that it's not Korean. the family name pronounced "lee" in it's westernized form is pronounced "ee" every where in asia (as far as i know).  the westernized spelling Li comes from pinyin where as the korean transliteration of the name is spelled Lee. 

to make a long story short Lee= korean    Li- mandarin or cantonese
Well according to this website he was born in Hong Kong, raised in Canada, and moved back to Hong Kong. A couple other websites say the same thing too, so I'm guessing he is from Hong Kong as the others said. :)