"Hello, Im a Thalmor Justiciar, you must be new around here to think you can say things like that about the Aldmeri Dominion. Let me introduce your face to my sword..."
I think this has to be the weakest reason I have ever heard anyone present for thinking that Saadia's lying to you. Notwithstanding that Kematu's story makes absolutely no sense because Taneth fell to the Thalmor when Saadia was either an infant or a toddler, if you completely ignore what may possibly be the largest lore f***fup by the developers in the game and pretend that Saadia and Kematu traveled to Skyrim via a time wormhole from Hammerfell circa 4E 171, you don't have to be a rocket scientist to deduce that the Thalmor don't tolerate open dissent in the territories controlled by the Aldmeri Dominion. If you choose not to ignore the lore then Kematu's claims become absurd.