When Anna behaved like she had come to a realization, Valerous was looking at her. He could guess that the realization she had come to was related to himself in one way or another. Feeling curious as to what it could be, he asked her, "What are you thinking?"
Suddenly being questioned, Anna snapped out of her musings and stuttered, "N-Nothing."
As Anna thought he would find her rude if she shared her exact thoughts with him, she lied.
Honestly, she was just worried that if she said to his face that his combat skills and strategic mind were according to her a result of secret training by his parents' subordinates, it would imply that she believed he was not capable of developing such skills on his own, and he might perceive this implication as an attempt to undermine his abilities and belittle his intellect and start thinking that she was one hell of a rude maid, which would in turn sour their relation, and it was something she didn't want.