Lilly, Do You Want to Know a Secret? - S1-E1
Corrected entry: In this episode, when Lilly tries to get Miley to see a Hannah Montana concert with her, Miley says she has to spend time with her brother. Lilly responds by saying she has a brother and wouldn't like spending time with him. Yet, in "Would I Lie to You, Lilly?" Lilly says she wishes she had a brother so she could go over to Miley's and it would be all better.
Correction: She never said she had a brother, she just says "quality time with your brother?"