Nope-- everyone uses impersonal pronouns to refer to him. Sometimes it’s very conspicuous, like the follow-up to that episode, when CBG moves in on Edna, further tormenting Skinner. “You! What are you doing here?”
There’s the episode where Homer’s chartering a bus to go to a ballgame, and Lisa reads “Comic Book Guy” off the list of passengers he’s signed up, but the joke is that they’re all peripheral characters that Homer doesn’t really know, (ie; “The sea captain, the kid with the squeaky voice, the comic book guy, the guy in the bumblebee suit…”) but what are the other instances?
(There’s another episode where they’re pretty coy about CBG’s name – he’s asking someone for an autograph and says “Please make out one to me, and three more to my friends who also are named the same as me.”)