I can confirm that they have never ever ever said this in the lines of the show, or even said anything to hint at where Greendale is or is not. The only thing we'd had to go on forever was the overt mention on the GCC website, which other places like the Wikipedia article then referenced at one point, but that certainly doesn't count as being mentioned on the show.

Several pointers in phone numbers having area codes of 303 (where you'd have to pause to see it, like on Jeff's driver's license or Abed's father's emergency contact information) are all the on-screen mentions that I'm aware of before the flag in the office in this episode. This is finally a pretty big clue, though it still wasn't at all a part of the dialog.