Should I tell them that I did not get in anywhere else?

I think the underlying idea is that he'd like to emphasize that he would attend (with no other options) if admitted. I think that's better done by just maintaining your interest in the WL. Showing weakness or begging is probably a bad move (as others pointed out).

It will not help you get it, but it could hurt you. You should just play the W/L game. Just have the confidience knowing that in your situation you can wait it out until the bitter end and can come on a moments notice. That should give you an advantage over many W/L's.

Agree with cnc2.

You could say "I'm waiting for the GSB decision before I take mine, since this is my dream school blah blah" and sound really cheesy and/or desperate.

Or you could coolly enquire and play on with the game. I'd go with this. Play a poker game. Show them you're still interested. But don't let them think that your interest is your weakness.

Wow. Overwhelming majority.

Could've been a disaster.

Someone I know got in to Cornell - and after being admitted was interviewed for the Park Leadership program and met with the Director of Admissions. He asked what schools this person got admitted to and they told them they were denied everywhere else. I think his reaction was interesting - he didn't seem too pleased.

I would keep that close to the vest and just tell them that they are your #1 choice and if accepted you will attend. Thats not far from the truth at this point and it is a safe route.

Telling them you didnt get in anywhere else could come off as desperation, begging, or even attempting to guilt them into letting you in. All three are bad.