The title of the episode is said twice, by two characters. Paulie says it to Tony "...then again, when it comes to (back problems), nobody knows anything." Then later, when Big Pussy is missing in action, Tony says it to Paulie and Silvio about Big Pussy's whereabouts ("I can't find Pussy anywhere! Nobody knows anything!")
When Tony mentions Gravano to Silvio, he's referring to real-life Mafia snitch Sammy "The Bull" Gravano, who famously testified against New York City mob boss John Gotti and then went into the witness protection program.