that the conclusory nature of [plaintiff's] allega- tions alone would give us pause before we would allow them to sustain jurisdiction.") (citing Zappia Middle East Cong. Co. v. Emirate of Abu Dhabi, 215 F.3d 247, 253 (2d Cir2000) (finding, in context of FSIA 12(b)(1) motion, conclusory allegations in plaintiffs a