I need to know where the line "I come by cruel fate from a little
Balkan state" comes from. I thought it was from Lehar's comic opera
"The merry Widow" but I can't find it.

Dear ive1,

You are right: The line you have in mind indeed derives from "The
Merry Widow"; however, it is not part of Franz Lehar's original score
and the original libretto.

Originally, the role of the embassy clerk Njegus in that operetta was
a speaking part. However, for the 1907 London production, an
additional number was written by Basil Hood and Adrian Ross, who then
adapted the lyrics and the music. The character of Njegus got his own
singing part, titled "I Was Born By Cruel Fate (In A Little Balkan
State)", also known as "Quite Parisian" or simply as "Njegus' Song" or
"Njegus' Aria".
This song at the beginning of Act III, before the Cancan "We're The
Famous Maxim Playgirls",  tells how Njegus has taken to Parisian life
like a duck to water.

In German-speaking countries, only the original version of "The Merry
Widow" ("Die lustige Witwe") is played with no song by the character
of Njegus included. So this piece is limited to operetta stages in
English-speaking countries.

In case you would like to buy a recording of "The Merry Widow" with
this song included, you may want to have a look at a CD offered at
Amazon.com for $15.49; "I Was Born By Cruel Fate" is track number 12:
http://www.amazon.com/exec/obidos/tg/detail/-/B0000263HG/002-4853855-7376061


Sources:

Tenorissimo: The Merry Widow
http://www.tenorissimo.com/domingo/Articles/ny021900.htm

Gilbert & Sullivan Archive: Gilbertian Gossip - No. 41, Spring 1994 (*.doc file)
http://math.boisestate.edu/gas/newsletters/gossip/no41/gg41.doc

The Guide to Light Opera & Operetta: The Merry Widow
http://www.musicaltheatreguide.com/composers/lehar/merry_widow.htm

Aria Database: Die lustige Witwe
http://www.aria-database.com/cgibin/aria-search.pl?opera=Die+Lustige+Witwe&r

Aria Database: Complete original libretto of "The Merry Widow" in
German and English (*.txt file)
http://www.aria-database.com/translations/lustige_witwe.txt


Search terms used:
"merry widow" "cruel fate"
://www.google.de/search?hl=de&ie=UTF-8&oe=UTF-8&newwindow=1&q=%22merry+widow%22+%22cruel+fate%22&btnG=Google+Suche
"I was Born by Cruel Fate"
://www.google.de/search?hl=de&ie=UTF-8&oe=UTF-8&newwindow=1&q=%22+I+was+Born+by+Cruel+Fate%22&btnG=Google+Suche
"njegus" lehar
://www.google.de/search?q=%22njegus%22+lehar&hl=de&lr=&ie=UTF-8&oe=UTF-8&newwindow=1&start=0&sa=N
"Adrian Ross" njegus
://www.google.de/search?hl=de&ie=UTF-8&oe=UTF-8&newwindow=1&q=%22Adrian+Ross%22+njegus&btnG=Google+Suche
njegus "lustige witwe"
://www.google.de/search?hl=de&ie=UTF-8&oe=UTF-8&newwindow=1&q=njegus+%22lustige+witwe%22&btnG=Google+Suche
"born by cruel fate"
://www.google.de/search?hl=de&ie=UTF-8&oe=UTF-8&newwindow=1&q=%22born+by+cruel+fate%22&btnG=Google+Suche
lied njegus lehar
://www.google.de/search?q=lied+njegus+lehar&hl=de&lr=&ie=UTF-8&oe=UTF-8&newwindow=1&start=0&sa=N


Hope this answers your question!
Best regards,
Scriptor