No, he didn’t. His exact quote:
“Chicago 1945” was done prior to “Al Capone. It spoke about an era in time, about what was happening at that time in Chicago, that year. It was almost as if you were reading the newspapers at that time. It was a song that maybe Michael used as the idea for “Al Capone,” and “Al Capone” was the idea for “Smooth Criminal.” So maybe there were some similarities but this is a different song. “Al Capone” was a definite new approach and “Smooth Criminal” was much more refined.
He’s clearly speculating, given the concept of gangsters carrying over from one track to another. It’s guesswork, nothing more.