I have no reason at all to think Russell lied when he stated: "I have never been a Mason." (Sermon: The Temple of God)
I'm glad someone finally located this quote, as I had remembered reading it before. WT bibliophiles are sometimes only aware of what was published by the WT society officially, and are not much interested in other books which were produced individually by different Bible Students. A couple of really interesting ones were 'What Pastor Russell Said' and 'Pastor Russell's Sermons'. In one of those books I remember reading the Pastor Russell stated he was not a Mason. Whether those books are still being reprinted or not I do not know.