The Rumor is that Gustav Adolf Weckhorst's father or grandfather came from the Alsache- Lorraine region and was half-french and half-german. H.W. has investigated the family roots back to the duchy of Holsten...(and Denmark). Thus there was an emmigration to Norway, but not from Alsache Lorraine.
The origin of the rumor seems to be that part of the Family history was compiled by the French-Norwegian genealogist Charles Antoine Delgobe (1844-1916). He was no relation to the Weckhorst Family, however. But this seems to make the most sense.
Johanna Weckhorst Anker told her granddaughter, Mary, that some part of her family [Weckhorst] had to flee reprecussions of the French Revolution as they were Royal. Hence the migration. Obviously the family rumor got rather involved.