Khan knew about Cora's attendance at the tournament. He had reviewed the guest list and even provided her family with a free trip. Khan was also aware that her tower included Martha and Princess Felicia, so seeing them together didn't surprise him.
However, the situation was far from ideal. Khan only wanted to leave and be alone, and lingering in the area might insult his allies since he had just asked for their patience.
Also, Khan hadn't seen Cora in years, and the events following their separation didn't look too good. He had broken up with Cora before Milia 222's mission, only to return from it with a new girlfriend. Amber had reassured him about that, but he struggled to believe her.
There was another problem. The network had long since shown Khan's new appearance to the world, but that would be Cora's first time seeing him with her own eyes. She had been the most human of Khan's girlfriends, so his alien look could trigger sad reactions.