When engaging in a lie, it's best to be as honest as possible.
As Lalin pointed out, they've already had their messenger spot us, she knows the elves we have don't act like slaves. If we say we're working for Brethor and their man in the market over hears Brethor telling his friends why the merchants he usually works with are gone, our cover gets blown really fast.
Now if we go over there, and tell them some of us are Wardens, who picked up these elves and realized, after some of them made a huge anti-human commotion in the alienage, that getting money for them is a better plan then trying to drag them around... Well then the only thing we're lying about are our motivations and intentions and that's something they can't check.
I'm pretty sure I can spin all of it, even walking around with a Dalish in a way that will get them interested.
I don't quite mind the idea of you following Lil Sis