The biggest issue with your son's adoption is behind you...letting him know he was adopted. When and how a child is told can have lasting effects on a child. I still remember vividly being told that my dad wasn't my birth dad (stepdad adopted me) and even though it's not quite the same as being "completely" adopted, it still left questions and doubts about the love he had for me, where I came from, etc.
So your son knows he has you as his mom (gotta love his answer about where he was born) and there's a Karoline out there who gave birth to him. The fact that he's confused and thinks his classmate, Caroline, gave birth to him is adorable. You can try to explain that there are many Karolines in the world and the Karoline he came from isn't a little girl, that little girls can't have babies. He might listen and understand and he might decide Caroline is still his mom. I believed my "boyfriend" Duncan was the owner of Duncan Donuts when I was 4 and NO ONE could tell me otherwise. LOL Just a part of being a kid. Either way, he'll grow out of it and understand eventually. This is an adorable little hiccup which will be a cute story to remind him of when he's older. =0)