I don't think so - the memory is faint for me, but I remember it being in the news back then. It was at a time when Lennon and McCartney were suing him, not sure if the suit was about that quote or not.
I found the quote here - it's where I got the exact wording.
When Harrison said that, I don't think ELO was quite off the ground yet, but Lynn was a member of one or two other 'beginner' groups before ELO. Lynne was English, as was Harrison, it wouldn't be hard to imagine those two meeting up at that time.
Many years later, they played together with the Traveling Wilburys!
This live performance of "It's All in Your Head FM" is largely culled from an 11-part series of radio shows done by Negativland member Don Joyce on his weekly radio show Over the Edge, broadcast on the Berkeley, California radio station KPFA. The series was also called "It's All in Your Head", and its theme was to propose, and provide evidence for, the case that there is no God.
The live performance continues in that vein, with many samples of people discussing the various facets of Christianity, Islam, Judaism, and other major religions, and the role of religion in society. It is hosted by Don Joyce in one of his many alter egos, that of Dr. Oslo Norway, chairman of One World Advertising.
The premise of the recording is that with radio's audience having shrunk so much over the past decades, that a radio station would have to do something as outlandish as proclaim the non-existence of God to get ratings.
If the above quoted interests you, you can listen to the 1:01:41 long recording there, or download the 143MB file to keep.
The Free Music Archive (FMA) is a place where artists put out their work for free and legal download, to do anything you want with it, as long as money isn't involved. There is a huge mass of music to be had there.