she doesn’t know when Zeref reveals this to Natsu, but i bet Natsu told her about it during the 1 year time skip after the final battle against acnologia.
Was Natsu made by Zeref?
According to FT’s manga, Natsu Dragneel is a demon made by Zeref Dragneel. He’s the END (Etherius Natsu Dragneel) that Zeref refers to way back when Natsu first meets Zeref face to face.