Black Friday is an agent with American Military Intelligence.
His real name is, or was, Lee Ainsley. We know this because in the opening panels of the first of the two issues featuring this "mysterious" secret agent, he is identified right after being gunned down and killed. Though the newsboy shouting the story of the murder clearly says "Ansley" (sic) and at Intelligence Headquarters someone talks of how "Lee Ansley" (sic) was murdered, at the end of the tale, Black Friday refers to himself as "Ainsley". He would know better so we go with that spelling instead of the first two misspellings.
Obviously despite the headlines, he was not really killed. There is some doubt whether he was shot at all because he later tells his boss that "with the help of a famous doctor and a faked death certificate", he did not die. Did that mean he was injured and saved by the doctor or that the doctor was used to fill out the fake certificate. The latter seems the more likely because when he shows up as Black Friday a day or two afterwards, he is quite fine and remarkably agile. That raises a question as to who did the shooting and was it down by the bad guys who just missed or by an unnamed confederate of Ainsley helping set up the deception. That is never asked thus never explained and obviously not important.
Why Ainsley/Black Friday felt it was necessary to kill himself off and become the alter-ego is another thing that is never brought up. Black Friday just suddenly is a scourge of the Nazi underground at work in the Eastern American shores. When he meets with Colonel Runavan in the "Office of the Military Intelligence" he explains that Ainsley is gone and he would continue to fight the good fight as Black Friday.
One might think with a sobriquet like Black Friday the person using it would be wearing some sort of costume but not Ainsley, unless you count the very large cravat he sports at all times. He is without a doubt quite dapper in his dress and in his manner but his attitude towards the saboteurs and killers he goes after is anything but gentile. There is no hesitation to letting the Nazi scum taste "American lead".
Why "Black" and why "Friday" is not asked nor answered although a page from a desk calendar indicating Friday 13 is shown on the opening page.
Who Ainsley was before he became Black Friday is never revealed. Considering Black Friday was not around for more than two adventures, we know next to nothing about it.