Pete | Kitty
Right. You've got a hurdle. Look at it this way.
You can either tell them the age old story of college student falls for professor with an accent and there's a torrid affair where he takes her on a tour of Europe for "educational purposes." Which we all know is about having a shag. Your parents will hate the professor more than their disappointment with the student, and think the chap (or lady, if it's a preference) was leading their dear child astray.
Or you can tell them that you were nabbed by your government or other security force, that it was covered up while Dr. Frankenfuck did experiments to turn you into a ghost. Then explain that by knowing this, they might be in danger or said government, or military, or police agencies may use them as a target to lure you out and capture you again.
There's lying to get out of trouble, and then there's lying for someone's own good so they don't get in trouble. Two entirely different ends of the lie spectrum. It's not nice. It's not pretty. But it is effective and can protect people you care about.