The famous English diarist tells us so in an entry dated February 3rd 1661. The excerpt in question:
(...) So to Mr. Fox's, unbid; where I had a good dinner and special company. Among other discourse, I observed one story, how my Lord of Northwich, at a public audience before the King of France, made the Duke of Anjou cry, by making ugly faces as he was stepping to the King, but undiscovered. (...)
Perhaps I'm misreading it, and the French Duke was crying of laughter? Or is this just a joke at the expense of the French royals and it likely did not happen?
The 1893 edition of Pepys's diaries, edited by Henry B. Wheatley, contains a gloss that sets this story in its proper context:
This story relates to circumstances which had occurred many years previously. George, Lord Goring, was sent by Charles I as Ambassador Extraordinary to France in 1644, to witness the oath of Louis XIV to the observance of the treaties concluded with England by his father, Louis XIII, and his grandfather, Henry IV. Louis XIV took this oath at Ruel, on July 3rd, 1644, when he was not yet six years of age, and when his brother Philippe, then called Duke of Anjou, was not four years old. Shortly after his return home, Lord Goring was created, in September, 1644, Earl of Norwich, the title by which he is here mentioned. Philippe, Duke of Anjou, who was frightened by the English nobleman's ugly faces, took the title of Duke of Orleans after the death of his uncle, Jean Baptiste Gaston, in 1660. He married his cousin, Henrietta of England.
So the story refers to an adult English nobleman – who was 36 years old at the time – making funny faces at a then three-year-old boy. I don't suppose we can be certain whether the future Earl of Norwich intended to cause distress, or was just trying to entertain the child, but at least the circumstances are made a good deal clearer by this revelation of the exact date of the incident, and the respective ages of those involved.