Yeah, but you have to wait for it to pop up.
No one knows where Gonzo's planet is, and that's part of the reason I don't like the actual story line of MFS. I don't think it was planet Oznog because there was that JHH character and I think one of the Gonzo's in the end of the movie was named Oznog. That would be like naming a kid earth. I doubt we'll ever find out and I have a feeling this whole alien thing won't be coming up in any future muppet projects. It will be like the forgotten brother on Happy Days. Never happened.