So we know that most of Robb's banners were at the Red Wedding but we also know that most of House Umber weren't, Greatjon Umber stops being mentioned in the episodes leading up to the event so I don't actually know if he was there or not.
No he wasn't actually present at the twins or the episodes building up to it.
The excerpt from the game of thrones wiki page of Jon Umber also backs this
The Greatjon is not present at the Twins during the events of the Red Wedding, making him one of the few bannermen of House Stark that remains alive and free.It is for this reason that Bran Stark orders Osha to take Rickon Stark to seek refuge with him, fearing for his safety during the journey to find the three-eyed raven.
When the massacre ensues, he puts up a tremendous fight as remembered here by Merrett Frey:
He’d cozened the huge northman into drinking enough wine to kill any three normal men, yet after Roslin had been bedded the Greatjon still managed to snatch the sword of the first man to accost him and break his arm in the snatching. It had taken eight of them to get him into chains, and the effort had left two men wounded, one dead, and poor old Ser Leslyn Haigh short half a ear. When he couldn’t fight with his hands any longer, Umber had fought with his teeth.
-A Song of Ice and Fire: Book Three - A Storm of Swords, Epilogue.
He is captured and held hostage and according to the Feast for Crows appendix, he is still
captive at the Twins
His captivity is to ensure that his family are kept in-check.