It's possible, in fact likely, that Lena HAS figured out that Kara is Supergirl.
Recall that Cat Grant figured it out long ago, revealed that fact to Kara, realized she made a mistake in doing so before Kara was comfortable in revealing that information after re-divining Kara's true identity, and has wisely kept that information to herself to the present, revealing it only through miss-able innuendo to her staff, but directly 4th wall to the audience.
(Cat divined James Olsen's identity as The Guardian and Barry Allen's identity as The Flash, too, incidentally, letting James himself know directly, and revealing her knowledge of Barry's true I.D. to Kara.)
Lena is being teased as a possible villain.
I think that's somewhat of a mistake, but I can easily see some episode where the "You never trusted me! You constantly lied to me and tried to deceive me!" heel-turn material gets trotted out.