There are just too many coincidences for this to not at least be considered plausible. It is certainly more plausible than our police torching their own cruisers to try and make the anti-globalization protesters look bad. One of the spies captured in America attended Harvard while Iggy was there. Each coincidence you add to the pile makes the conspiracy more likely. We know that Iggy is obsessed with his Russian album, even publishing a book about how awesome his forefathers were. He lived and worked for a while in London England, which has a very high Russian population. He also bears a shocking resemblance to Count Dracula, which is further evidence that he is a foreign operative.
Then there was that time he said:
“Between my two pasts, the Canadian and the Russian, I felt I had to choose. I chose the vanished past, the past lost behind the revolution. I could count on my mother’s inheritance: it was always there. It was my father’s past that mattered to me, because it was the one I had to recover, to make my own.”
If that's not a confession, I don't know what is... :O