We never discovered which.

From Trying to Please by John Julius Norwich.  Page 36.

After a short afternoon rest it was back to the House, where my parents and their weekend guests would be still sitting round the dining table after lunch (always outdoors, when weather permitted). There must, I suppose, have been political colleagues of my father’s, but I remember very few of them: Winston and Clemmie Churchill (occasionally, but not often), Bobbety and Betty Cranborne (later Salisbury), Brendan Bracken and one or two others. Of them all, I remember Brendan best. His hair, which contrived to be both fuzzy and carrot-colored, his strange, clipped voice and his curious secretiveness all fascinated me. Of course I had no idea in those days of the widespread rumor that he was the son of Winston Churchill—a theory which, having known the Churchill family moderately well nearly all my life, I don’t accept for a second—but his parentage was in any case a mystery. My mother would tell me of how he had spent his childhood on a sheep station in Australia, then come to England and paid his own way through public school. He was mysterious in other ways too.  He would arrive at breakfast in his dressing gown, bath towel over his shoulder, apparently straight from the beach, saying “Oh, the sea was wonderful this morning”—but no one ever saw him actually entering the water, or even in a bathing suit. My mother maintained that there were only two possible explanations: either he couldn’t swim and was bitterly ashamed of the fact, or he had a tail. We never discovered which.