I'm not so sure she was embarrassed, per se. I think she was just more surprised by Jeanne's entrance and that's what flustered her. I don't think she has the..."common sense", for lack of a better term...to be embarrassed by that.Only in manga will you get a no-common-sense 5-race hybrid demon beast angel person, that can simultaneously not be shy when taking a shower in front of MC, to being embarrassed when almost getting "caught" hugging... to going back to hugging his arm anyway because she's feeling jealous