Everything I'm finding indicates he was born in England & she was born in Massachusetts.
*Massachusetts Marriages, 1841-1915
name: Edward M Dunn
event: Marriage
event date: 22 Sep 1914
event place: Lowell, , Massachusetts
gender: Male
age: 22
birth date: 1892
birthplace: , , England
marriage registration place: Lowell, , Massachusetts
estimated birth year: 1892
father: Edward Dunn
mother: Bridget Fitzgerald
spouse: Anna T Mahoney
birth: 1896 Boston,​ ,​ Massachusetts
spouse's father: Edward Mahoney
spouse's mother: Bridget Whelan
record number: 462
digital folder number: 4329373
number of images:
****
*Massachusetts Births, 1841-1915
name: Anna Theresa Mahoney
event: Birth
event date: 20 Mar 1897
event place: Boston, Suffolk, Massachusetts
father: Edward Mahoney
father's birthplace: Ireland
mother: Bridget
mother's birthplace: Newfoundland
volume/page/certificate number: v 468 p 78
digital folder number: 4341224
***
*World War I Draft Registration Cards, 1917-1918
Name: Edward Michael Dunn
City: Roxbury
County: Suffolk
State: Massachusetts
Birthplace: England
Birth Date: 11 Jun 1894
Race: Caucasian (White)
FHL Roll Number: 1685003
DraftBoard: 12
***
*U.S. Naturalization Records Indexes, 1794-1995 about Edward Michael Dunn
Name: Edward Michael Dunn
Birth Date: 11 Jun 1893
Birth Location: Brunley, England
Spouse: Annie
State: Massachusetts
Locality, Court: District of Masssachusetts, U.S. Circuit and District Courts
****
This would be the family in 1920 census.
*1920 United States Federal Census
Name: Edward Dunn
Age: 26
Birth Year: abt 1894
Birthplace: England
Home in 1920: Boston Ward 12, Suffolk, Massachusetts
Race: White
Gender: Male
Immigration Year: 1907
Relation to Head of House: Head
Marital Status: Married
Spouse's Name: Anna Dunn
Father's Birthplace: Ireland
Mother's Birthplace: Ireland
Household Members:
Name Age
Edward Dunn 26
Anna Dunn 22 (Massachusetts)
Edward Dunn 4 [4 9/12]
Phillip Dunn 3 [3 2/12]
Elizabeth Dunn 1 [1 2/12
****
Here is the birth record of their son Edward that confirms this is the right family in the census.
*Massachusetts Births, 1841-1915
name: Edward Dunn
event: Birth
event date: 15 Apr 1915
event place: Boston, Massachusetts, United States
father: Edward Dunn
mother: Annie Mahoney
volume/page/certificate number: p 270
digital folder number: 4401726