There's a moment where Peggy takes a moment to process this. It wasn't as if she ever saw Steve with any other women. She's quick to push it back inside though and she brightens. They had been through too much together and Steve was probably the only person who although he got flustered, respected her skills in and out of the field.

"Oh now?"

She forces a hesitant smile.

"Who is she?"

She's cautious. More than likely very naive sounding.