I think he said it in 1940 just prior to the Battle of Britain. It would be uncharitable to stress that at this time "we" could not have been intended to include the USA - it wasn't in the war for another 18 months. Churchill had been a prisoner during the Boer War and his intention never to be taken alive by the Germans has been documented on a number of occasions. The final passage of the quoted speech indicates that he saw the "we" as being very much the British people on their own, with the Empire and the USA being left to carry on the (as he saw it necessary and inevitable) fight. - "...even if, which I do not for a moment believe, this Island or a large part of it were subjugated and starving, then our Empire beyond the seas, armed and guarded by the British Fleet, would carry on the struggle, until, in God’s good time, the New World, with all its power and might, steps forth to the rescue and the liberation of the old.”