In The Umbrella Academy in the episode "The Day That Wasn't" number five says:
I do owe a debt, but not to you.
Is it specified in the comics who he was referring to?
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Number Five's arc in this episode roughly follows The Umbrella Academy: Dallas issue 3, "Television, Or Are You There, God? It's Me, Klaus", but I don't believe the answer really exists there since the adaptation is a bit different.
Simply put, Number Five owes the debt to his family, and the episode is him setting things up to come back to help them avert the apocalypse.