Nope, exact opposite. Walked in on something similar one time and i just walked around the dorm room like nothing was going on. Was in there for about 30 seconds and then left. Didn't say anything to them or acknowledge them in any way.
You mean a girl asking you "Where is this going?" when you are actually in the middle of fucking her? My reply would be something like "We are going to fuck each other's brains out until one of us gets bored with it and wants to fuck someone else's brains out". Just be honest!