He is just picking up on her foxy tails, its more of a reference to Japanese mythology where the Kitsune spirits were really bad at hiding them. Lily is much better than an average spirit because she actually has a human for rather than it just being an illusion, so he's only able to pick up on almost unnoticable suggestions after close inspection. If he doesn't see her shift for a while he might figure it out by such tell-tail signs.