This, too. It seems like she must know him well enough at that point to have known exactly what his response would be. I think maybe she was confirming it, but who knows what she had in mind. Later on Stannis tells Davos that, while she knows he doesn't serve her god, she also knows that he serves Stannis, so she apparently values his loyalty over his conversion, and she obviously respects his honesty. And much later on, in her chapter, she turns out to have some ordinary human sympathy for him and all he's lost.
Mel is a complicated cat.