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Not knowing is a normal place to start, and in Brazil's case it is worth the trouble of finding out — because there is no generational limit here. A great-grandparent is as good as a parent if the line between can be documented, which is not true of most countries.
What you are looking for is evidence that someone in your family was Brazilian: a Brazilian birth certificate, an old Brazilian passport or identity card, a consular registration of a birth or marriage, naturalisation papers from the country they moved to (which usually name their previous nationality), or a ship's manifest or immigration record. Brazilian civil registries hold birth records locally rather than nationally, so a town or a state is a much more useful starting point than a surname.
A note on what does not settle it: a Brazilian-sounding surname, or family tradition, is not evidence, and consulates will not act on either.
Tell us what you know — names, approximate dates, and any town or state in Brazil — and we will tell you which record to go after first and whether it can be requested from outside Brazil.