Romero was born in the New York City borough of The Bronx, to a Cuban-born father and a Lithuanian American mother. His father has been reported as born in A Coruña, with his family coming from the Galician town of Neda, although Romero once described his father as of Castilian descent. His father worked as a commercial artist. Romero was raised in the Bronx, and would frequently ride the subway into Manhattan to rent film reels to view at his house. Romero attended Carnegie Mellon University in Pittsburgh.

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