What I got from Usagi's quote was the following:
1) Usagi does not think that Nephrite is human. This coincides with the fact that she has not learned any history about the generals' origins as of this episode.
2) Usagi doesn't want to make her friend suspicious. Usagi still needs to make sure that she doesn't blow her cover after all. Suddenly making wild conjectures that would require that either Usagi to be insane or to be privileged to information that Naru is not, would definitely open the door to some questions that Usagi would rather not have to address (i.e., her being Sailor Moon).
3) Usagi doesn't want to freak out her friend XD. Even if she could make up some story about how she just happened to see good ol' Nephy disappear in thin air or something, it'd still be quite a shock to the ultra-naive Naru.
As for the exchange between Nephrite and Zoisite:
I politely disagree with wink568. Since Beryl brainwashes them (I'll find a ref for that...) to ensure their complete loyalty to her before the whole Moon Kingdom ordeal even got started, I doubt if she'd let them keep their identity of descendent's from earth. Honestly, would you really put all your effort into destroying the planet that you came from just cause some Queen is having an ego trip? I mean evil is twisted sure
. But, this is a story of humans *always* prevailing for goodness sake.
That's my take anyhow :p.