"An odd tale. I've heard rumors of such things, but my own department's investigations proved insubstantial. You will have to forgive me for being unable to move forward without evidence."

Or: this mistrust runs both ways. She can't be surprised that they think her capable of lying.

"The both of us joined when our home was bombed, and our clan wiped out. We were the last of our line, and wished to preserve it, but any marriages would dilute the blood. Instead, we swore revenge."