Don't lie. But make sure you understand what exactly they are asking.
Most likely, they are concerned that you might already have submitted a thesis elsewhere that was rejected. Of course, universities don't want you to go "university shopping", submitting your thesis over and over until it gets accepted somewhere, so you will need to sign a declaration when you submit your thesis that it has not been submitted elsewhere. (This may be helpful.) I very much recommend that you don't lie here. If you do double-submit a thesis and this becomes known, you will lose your Ph.D. at the very least.
However, they most likely don't care whether you have applied and been rejected from other doctoral programs.
So: make sure you understand what exactly they are asking. If you are unsure (and German official documents can be confusing and intimidating), ask them.