Something doesn't jive. No SIGs were made in the US in 1986, and in 1986 SIGARMS was located in Tysons Corner, VA, not Exeter, NH. SIG didn't start assembling guns in the US until 1995 with some P220s, as I recall. A 1986 P226 should have German proof marks on the bottom front chin of the slide. A 1986 P226 should also have "Made in W Germany" on the right side of the slide and most likely the serial number on the frame, slide, and barrel. What are the first 3 numbers of the serial number after the "U"?
I think I did hear a story about a contracted run of SIG pistols (don't remember which model) destined for another European country, maybe Spain, that did not require being proofed, but were never delivered. They were discovered many years later and sent to the US when SIGARMS was located in Exeter. If the story is true, it could explain the Exeter import mark if the serial number places it in 1986 like SIG claims. However, it wouldn't explain why there are no proofs marks because the guns were already assembled and would have required to be proofed.
Have any photos?
BTW I was assuming you were keeping the P226.