Why would he know that? Wasn't Oleg's whole point that only he had figured out that Stan had "turned" Nina? How would that be the case (assuming Stan believes him) if Nina was reporting back that she was working for Stan? That would mean Stan knows he's being played by her.

Nina's made it clear to Stan on numerous occasions that she's sneaking away to meet him. Oleg didn't tell Stan how he knew, but he definitely indicated that Nina wasn't telling anybody.