Perhaps Kay didn't know, on her own, that Michael had Fredo killed--she tells him, "Tony knows that you had Fredo killed [emphasis added]." As we saw, Connie at the last minute pulled Tony off the boat with Fredo and Neri, saying that Michael wanted Tony to go with him. But Michael didn't go anywhere--and neither did Tony. Michael heard the shot that Neri fired, so Tony must have heard it too. So, Tony must have concluded, after Fredo failed to turn up, that his father had Fredo killed. And he asked, or told, his mother.

Another possibility that Enzo raises: Connie and Kay still seemed tight. Maybe Connie became distraught after Fredo went missing and blamed Michael, as she did when Carlo went missing in GF. And she confided in Kay. OK, Connie seemed to have rationalized it by III, but before then...?

Most logical explanation: directoral license. Lake Tahoe is very deep. In order to make Fredo's body disappear, Neri would have to have gone fairly far out on the lake--too far for anyone on shore to have heard the shot. FFC needed drama for that last scene--and he needed drama for Kay's confrontation with Michael in III.