Remember just how often Shae tried to get Tyrion to make her a more prominent part of his life? Shae is a greedy idiot. She absolutely would have gone along with Cersei and Tywin in hopes that she could get more out of it. After all, her last gravy train is in prison now.
Or for a more charitable interpretation, she really couldn't get away anyway. Tywin and Cersei would have locked down Tyrion and Sansa's household staff immediately. From that point, you just assume she was being honest when she told Tyrion she was afraid of them.