Kay never knew about Appolonia, did she?
In Part III, while they were in Sicily, Michael told the story of Apollonia to Kay and their children
Not quite PB. In GF III Michael is showing Kay the room where he spent a lot of time in Sicily, and he tells her how much he thought about her, and Key says something to the effect, oh sure, and you happened to marry a beautiful Sicilian girl, and Mike says something like, well, I was still thinking of you.
This means Kay knew about the marriage to Appolonia, and was bringing it up in a half teasing way to Michael.