It's possible that he'll initially go 'lol, who?' but in his conversation give her some sort of signal that lets her know that he does remember her without tipping off Suzaku.
They obviously haven't told her the whole story, that he was Zero and his memory was wiped but might be back, because she wouldn't play into their plan like this if she did. The question is, how much does she *actually* know- I'm pretty damn sure she knows he's Zero. Anybody who noticed his attendance rate dropping with Zero's appearance and knew his past could, if they thought about it enough, the fact that one of the ways he hides his identity(the mask) means nothing to Nunnaly makes it even easier for her. If Lulu plays it like described above she'll know that he has something to hide from Britannia. It's very possible that she's going to play the dumb pawn until the right moment and then turn around and stab them in the back for Lulu's sake.
You gotta admit that Nunnaly going all KEIKAKU DOORI on us would be pretty fucking cool.