He could say that because nobody was looking for him. Nobody would hold him hostage or kill him and put his head on a pike if they found him. She would rather be nobody until everyone on her list was dead, and then she could be Arya Stark again and go back to Winterfell.
But Winterfell was gone and there was nobody to go back to, and she was here anyway. She could be herself if she wanted and Arie the orphan girl if she didn't and maybe that was okay, too.
"I suppose," she said reluctantly. Then, with more excitement, "Can we work with a sword soon? I like that. I'm good at that."