In Chapter 4, the chapter directly after Curley's assault on Lennie, Curley's Wife knows that her husband did not get "his hand caught in a machine." This is the story that Slim forces Curley to tell his dad and anyone else so that Lennie and George don't get in trouble. Curley agrees to this because he's in pain, but also because he doesn't want Slim or the others to tell anyone that he was defeated by Lennie--it would bruise his ego too much.
Curley's Wife brings comments that she thinks Lennie is involved somehow and tries to use this knowledge as a sort of blackmail. She is so desperate for someone to talk to her that she is willing to threaten almost anything to force a conversation (in Chapter 4, she threatens Crooks with a rape charge because he tries to expel her from his room in the barn). Her loneliness and isolation are all encompassing, and her voicing her suspicion is simply a ploy to be included.