Mai's eyes shifted. "I wonder what he was doing there..." Another tactic Mai learned in order to deflect attention away from herself was to always root her lies within some form of truth. She knew that Zuko was here, and therefore Iroh was most likely not far behind, but - and this is the main point - she didn't know what exactly they were doing. Mai and Zuko didn't discuss particulars, which would benefit them both in the long run. The less Mai knew, the less she could endanger Zuko.
"Do you think they're within the city, or just stopping in, though?" Mai, like any frenemy, did whatever she could to plant seeds of doubt within Azula's schemes. It was unlikely to work, considering the target, but it was worth a shot, at the very least. "You'd think an exiled Prince and war criminal wouldn't be able to reside in a place like this without being noticed."