Well, I need to see the chapter first, but Sanji also had an expressionless face when he proposed to her. That was not the face of someone who fell for her either. Next chapter he was considering escaping and trying to convince himself that he was in love with her. Sanji must be so broken now that he does not even have the energy to feel shocked. According to the spoilers he does have something to do (ray of light), so that's why he must be in deep thought. It is possible that he thinks she is lying to Reiju, or something is up, who knows ... but it seems that it is at least confirmed that Pudding worked with her mother from the beginning since that line from Big Mom to Luffy makes sense now: "Why would you think the bride would be friends with you?" Also, Pudding was the only one who knew about the southwestern coast being the meeting point.
About Lola, it makes sense to bring those thoughts because the guard told Pudding that Nami had Lola's vivre card. That's why she started to think about her sister. Since we do not know how much Pudding really feels about Lola, every speculation is fair game. We were led to think that Big Mom and Lola had a good relationship because of Lola's words in Thriller Bark so we can not guarantee that Pudding has Lola in high regards, especially if she is Big Mom's favorite like she says in the chapter.
