Tree House of Horror VIII - S9-E4
Other mistake: In 'Homega man', Homer goes into the bomb shelter and does not shut the door, and you can still see it open for a while after he is in there. Herman does not close it behind him - you can tell by his skeleton's position. But Homer opens the door to leave the shelter after he has eaten the food, and it must have been closed for him to have survived the atomic attack, because it vaporised Herman, who was only a few feet away.
Answer: Willy referred to an encounter he believed he had with actual aliens, while Wiggum thought he was referring to the arcade game.