The Contest - S4-E11
Trivia: While appearing alongside Jerry Seinfeld on The Tonight Show with Jay Leno, JFK Jr. revealed that people would constantly bring up his appearance in this episode, even though he never actually appeared in it and was only referenced.
Chosen answer: George does mention his brother in the episode "The Parking Space". They actually really never mention anything that contradicts the fact he had a brother though, it just isn't mentioned.