Well, first of all, Franz Liszt was quite a celebrity in his time, and just like any other celebrity, rumors about him can be exaggerated or outright fabricated.

Still, he seems to have had formidable hands:

Liszt's own hands were long and narrow, and his fingers were notable for their low-lying mass of connective tissue, which Edward Dannreuther graphically described in his own edition (1899) of the Transcendental Studies as "the opposite of webbed feet." Source

Since Dannreuther knew Liszt, I think he is to be believed. Moreover, some people in that era had operations to sever the connecting tissue of their fingers. When a pupil asked Liszt what he thought about this sort of procedure, he responded:

I earnestly beg of you to think no more of having the barbarous operation. Better to play every octave and chord wrong throughout your life than to commit such a mad attack upon your hands. Source