Well, if you kill Saadia...
Spoiler
Kematu says, "All that effort and you just kill her. You've ruined everything."
Seems to me that Kematu is the one telling the truth. Besides, if the Thalmor were really after her, why send the Alik'r, or people dressed as such? By terms of the WGC, the Thalmor are allowed to weed out Talos worshippers. They call her a Talos worshipper, and nobody's going to question why they're looking for her.