"I don't know what you know and what you don't know. What you know is yours to keep or share as you please - sometimes there are things others are better off not knowing. We all have secrets and we keep them for one reason or another."
He wouldn't lie to Envy - perhaps he didn't want to, perhaps a minuscule part of him just couldn't - but to not know meant to be able to claim deniability when the shit hits the fan. Pride wanted this side of the fence to incur minimal losses, and Envy just had to trust him when he didn't want to tell him the whole truth.
Big ask, yes, but it was a big, sensible ask.
"I'm not unloading anything on anyone, Envy. I have a situation that need not be made any more difficult, nor do I wish for it to implicate any more people; all I am asking is for you to be rational and keep away from it."
And perhaps later, when Pride emerged tainted and humbled from the fallout, he might ask for forgiveness.