Seeing someone doing something cleary wrong (as cheating is) and saying nothing is not keeping the nose out of other business, is omertà.
If you see someone doing something wrong to another, and do nothing, you are in fact helping him in that (of course in this case it would be best that she manage to persuade the sister to do "the right thing").
When you behaviour influence other people it cease to be "none of your business".
@DavidArgall: Aside the fact that you are obviusly assuming a lot of thing that aren't necessarily true (and sound very stereotyped "all men like bi/lesbian and thresome"), isn't it strange that, if he's somehow into bi/lesbian and threesome, she didn't just tell him? why hide it?
Fact is that, no matter how many excuse you come up with, hurtful lie like that are just wrong. It may not be easy to tell the truth but nobody said life was easy, and usually the outcome is better when you face things, not when you run run from them.