While I don't have detailed surveillance data on prominent figures of the 1920s/1930s, this claim seems highly unlikely to me. While some countries, including the US, were being to collect and publish economic statistics, for example US monthly employment statistics date back to 1915, the modern national accounting framework was still under development in the 1930s by Colin Clark and Simon Kuznets, the US only published its first formal national accounts in 1947. The lack of such a framework made it hard for 1930s economists to understand not only what was happening (a problem still frequently encountered today), but what had happened a few quarters ago.

Macroeconomic theory was also lagging: Keynes' The General Theory of Employment, Interest and Money was published in 1936, well after the Great Depression had started (and it took years for economists to absorb it). Milton Friedman and Anna Schwartz's A Monetary History of the United States, 1867–1960, which focused attention on the role of the money supply, was only published in 1963, decades later, and subsequent research showing the importance of money supply for other countries was even later. The monetary hypothesis is important because it can explain why the Great Depression lasted so long, compared to most economic recessions. This understanding wasn't around during the 1930s, to quote from eh.net's encylopedia article on the Great Depression:

The economics profession during the 1930s was at a loss to explain the Depression.

The eh.net article notes evidence that the US Federal Reserve made glaring mistakes, by the standards of modern day macroeconomic theory:

Meltzer (1976) also points out errors made by the Federal Reserve. His argument is that the Federal Reserve failed to distinguish between nominal and real interest rates. That is, while nominal rates were falling, the Federal Reserve did virtually nothing, since it construed this to be a sign of an “easy” credit market. However, in the face of deflation, real rates were rising and there was in fact a “tight” credit market. Failure to make this distinction led money to be a contributing factor to the initial decline of 1929.

This doesn't rule out some genius who both happened to be in a prominent position and who understood macroeconomics much more than the leading economists of the day. But economic theory, like that of other sciences, tends to involve discoveries being made at similar times by several different people, for example marginalism in economics was proposed in the 1860s-early 1870s by Jevons in England, Menger in Austria, and Walras in Switzerland. Academics in a field talk to each other, so they tend to share a similar understanding of the pressing problems of the field and the data and other tools available to address them, particularly in the 20th century where the number of academics was much larger than in earlier centuries.

Of course, this isn't proof positive of absence. One can always postulate cover-ups. But then one can postulate shadowy individuals deliberately creating the impression of an imperfect cover-up, and so forth, until I get reminded of the iocane powder scene.