Oddly enough, I just looked up to see who might be able to refute it if they were of a mind. The ONLY person alive that could would be his sister, but why would she? Jerry has put serious investment into his niece and nephew. I agree Jerry's story stinks....however, before his father owned a couple of grocery stores, he started out with just a fruit stand. However, he at least owned a grocery store by the time Jerry was nine.
Given how cheap Jerry is, he probably learned that from his parents...so it's POSSIBLE his family hunted squirrels for food. Many people do hunt squirrels even if they don't need it.
But Jerry is such a freaking liar that I never believe anything he says.