I remember reading in one of his books he said that he supported Utd to be different because they were the underdogs in the city and everybody he knew supported Wednesday.
Though I think he tries to be diplomatic about it.
From an interview:
"If United have won, I’m really in a great mood for a couple of hours, but if not, the family keep out of my way.
You must be unusual in being a Sheffield United fan who watches Wednesday too?
Well, I’ve lived in London for 35 years and I do follow the fortunes of both. It’s more a token of feelings for the city where I grew up. Sheffield people will say to me: “You’ll say ‘up the Blades’ then you’ll say you’re a Wednesday fan, what’s going on?” United were the club I supported when I was growing up, mainly because their ground was the nearest to our house. I used to see Wednesday supporters as a different type of person, just… deeply disturbed. But then I was always excited when either club was involved in a big game and Wednesday tended to be involved in bigger games. When I first came to London, it was 1966 and Wednesday were in the Cup final, so I couldn’t say I wasn’t interested because they were from my city. Eric Idle was a big Chelsea fan and I used to go there to see either Sheffield team play. I found myself being sucked in as a sort of associate Wednesday fan, though I would have been disemboweled in Sheffield if they’d known that."