The thing is, when people are having an affair often they can't help the little signs of intimacy between them... the knowing smile, the private references in conversation, etc. Plus their cover stories always have to match perfectly. Easier if they were working together but still... he may have picked up on something in the dynamic and assumed they were actually having an affair. I'm sure she would have liked giving that impression, in her mind it means she is desirable by a famous man.
I think it likely it was sexual if only in her mind.
Can we get back to parrots now? More interesting.
Edited to add: And given Art's past track record with women and relationships it seem entirely possible to me.
Well we know Art found her alluring, so in a strict sense you don't need a physical affair to interpret Eberhardt's comment.
I have no problem believing she sees herself as both lover and daughter in some loopy spiritual sense. Ick, but in relationships with an age difference that transgressive stuff is old as the hills. Even if she came out and said it, I'd need some corroborating evidence.