They would have said something like, "The fat fuck probably went into the Witness Protection Program".... its their word (three guys) against no evidence that they didn't know what happened to him (they could have easily lied).

I know you think Pussy's wife would never believe them but she undoubtedly found Pussy's wired microphone and she may have expected that he was cooperating with the Feds. Whether she believed them or not isn't really the point here... Carmella and others she may have turned to for some "support" believe Pussy was a rat.