Calista Anderson was at a sleepover when the email from a friend arrived. She was 12 years old and had just experienced the worst moment of her life: Her mother had been killed while working overseas. The email offered a further jolt. It linked to a news article revealing that, contrary to what she had been told, her mother hadn’t worked for the State Department. She was a CIA officer. “I called my dad and I was like, ‘Come get me from the sleepover. We need to talk,’” she said. Losing a parent is painful for any child. But for...