Claudette would be his grandmother?
The answer has to be no until some proof is given. There is no mention of such a relation on IMDb for either actor or Wiki page...
...If Steven Colbert was related to Claudette Colbert we would have heard from him, so no.
Stephen Colbert is a comedian better known for his Comedy Central show the Colbert Report. In this show he pokes fun at political issues such as high taxes and the car companies going out of buisness.