The only "evidence" we have is Lucas says he was thinking about numbering the movie but decided not to for the initial release. It's first hand testimony. Obviousy there is further evidence that he thought of it at some point, because he ultimatey did retitle it Episode IV A New Hope before Empire came out.

The lack of -further- supporting evidence certainly doesn't disprove it.

Lucas was saying that both he and the studio had decided that it would confuse the audience to number them for the initial release.

I imagine it going a little something like this:

Lucas: I think we should subtitle this thing: Episode IV A New Hope...

Executive: Are you crazy? Nobody will understand that!

Lucas: You have a point. Note to self: destroy all evidence that I ever thought of this.