I found a fix: (this fix assumes you have setup your iCloud account to sync contacts...even if you don't have any stored in iCloud yet)
1) Go to Contacts, then click Groups in the top left
2) Go to your iCloud addressbook
3) Create a new contact for yourself
4) Save the contact, but then edit it: delete any "linked" contacts (these are listed towards the bottom)
5) Go into Preferences -> iCloud and set "My Info"
6) Again click Groups in the top left, choose iCloud addressbook, and select the new contact you made for yourself in step #3
Now when you tell Siri "Joe is my brother" she'll remember!