Ulbricht publicly used an email address containing his first and last name when he first talked about Silk Road around its start, and before its start, he talked about wanting to make some type of Bitcoin marketplace.
The idea that he's not the first DPR is a joke about the name or obfuscation tactic he used in an interview.
There's a bit of a joke here. Obviously the first guy to call himself "Dread Pirate Roberts" couldn't have chosen that name because he wasn't the first, right? But it's perfectly plausible that he chose the name because he didn't intend to be the last.
It's unlikely Ulbricht created SilkRoad ,he's probably not the first Dread Pirate Roberts.