She doesn't believe in that and when she had the chance to find out (she had Lucifer's blood sample) she chose to throw it away because she didn't want to know the truth. Either he was lying and that would have upset her or he's telling the truth and she definitely didn't want to know that. The only question I have is that Lucifer tried showing her his true face earlier and it failed but why not show her his wings? He still has them, pop those babies out.