Nathan is a mysterious figure. As he moves through the story along a different axis (not literally, just as the main character of a different story occasionally crossing paths with this one) it can tricky to determine if his conclusions are insane or insightful. It’s generally intentional that from the point of view of this story, only half of what he says makes much sense. Though you, the reader, know that some of his conclusions here are wrong, but also that some of those wrong conclusions were what Peter intended to be drawn from the situation.

He’s probably not making fun Kally like she thinks, but somewhat different points of view there.