Sanjay is a cousin of Raj Koothrappali.

He is first mentioned in "The Pirate Solution" when Raj mentions that when he's going back to India, he's going to be deported, sent home in disgrace and exposed to Sanjay's sardonic barbs. Or, as Leonard may know him, Dave from AT&T customer service.

He is mentioned again in "The Guitarist Amplification" where it is revealed that he is getting married and Raj claims that he can't come to the wedding because he and Sheldon's dark matter research is at a critical juncture, but then Raj changes his mind and decides to come for Sanjay's wedding.