In "Bender's Game", we learn that Prof. Hubert Farnsworth fathered Mom's son, Igner. In "Near-Death Wish", it's revealed that both the Professor's parents (Ned and Velma Farnsworth) are still alive, and that he has a younger brother, Floyd. Bender even mentions that Floyd had stopped by Planet Express once, looking for Hubert. So Hubert, Floyd, Igner, and either Ned or Velma would be biological relatives of Fry.
Why, then, did the DNA scanner in the pilot episode say that Hubert Farnsworth was Fry's only living relative?
(Note: Hubert's clone / son, Cubert, would be another biological relative, but he was't born yet when the DNA scan was done.)