Riza didn't think he was simple minded, she was however very curious about him in general. There was no way she would have assumed he could fight as well as he could which, had this been a different situation, would have worked in his advantage. However as it was Riza was no threat, she was just making sure he wasn't.
"You're in Central City in the country of Amestris" she informed him, watching his face carefully for a reaction, "Where are you from?" she asked.