Once, to Paris in 1927. It was actually the idea of the French government, which invited the Legion as part of the 10th anniversary of the United States’ entry into World War I. The French even had a commemorative medal struck for the occasion and presented it to attendees.
In September, the attendees gathered at Coney Island in New York for fun and games. Then the entire crowd — 20,000 Legionnaires and Auxiliary members calling themselves the "Second American Expeditionary Force," Legion leadership and even Gen. John J. Pershing — boarded the steamship Leviathan for the trip across the Atlantic Ocean. There, they held caucuses and meetings and voted for the new national commander.
While overseas, the attendees attended dinner parties thrown by the French government, and visited battlefields on which they had fought and cemeteries where some of their fellow soldiers lay. Footage of their travels to and within France was captured on a film reel, which has been preserved over the decades. View the footage here.
The following month, the national convention convened in New York. The first order of business was to ratify and adopt the actions taken in Paris, making them official.
Other than the 1927 National Convention, the only other times Legion gatherings have left the continental United States are the three national conventions that have been held in Honolulu: in 1973, 1981 and 2005.