I wouldn't exactly call it a lie, but what you are talking about happens early in the chapter, before all the stuff about the Nazis and Miss Gates.
What Atticus knows is that the kids had been messing around at the Radley house earlier in the book. He tells Scout that they need to not start that up again for fear they might get shot.
I think that Atticus doesn't punish her for a couple reasons (though we are not told why). I think he thinks that she is over it now and does not need to be punished. I also think that he sort of understands why the kids would want to do that and so he doesn't really want to come down on them too harshly.