@Rinfolia my bet is that she feels like she would just be a third (or even fourth) wheel since he already has Mel, and Efil is more or less already his second wife. Depending on the situation, nearly all of them take a back seat to battles. Also depends on where you count clotho too.
She also has a lot of pride, so maybe just the suddeness of the question put her too much on the spot, and so she said that out of embarrassment from being read like an open book.
Could also be something else, like opposing values towards polygamy, if Kelvin even has "romantic marriage" in his dictionary, or because Mel is a goddess and she is a demon, maybe they cant be together any closer than party members/friends. Idk.