A list of von Cramm matches spanning his entire career is posted at Tennis Archives: http://www.tennisarchives.com/coureu...coureurid=1172
On that list there are, in fact, no five-set losses between June 1932 and July 1937 (on those dates he lost five-setters in Davis Cup, the latter to Budge).
And the only five-setter he ever lost in the Slam events appears to be the US final against Budge in New York.
I can't say how complete the list is. It does not include Davis Cup, which is not a problem because that information is available elsewhere. But it also does not include the exos with Budge in Australia from early '38.
And I noticed mistakes in the scorelines of at least a few matches: 1935 RG semifinal and final; 1937 US semifinal.