You don't leave yourself with too many options there. To begin with, you shouldn't let your employer poke their nose into your private lives. "I am not comfortable sharing further details as this is a very private event." should do. If it doesn't, then it is highly unprofessional on part of your employer, and you should start seeking a better employer soon.
Long story short, you cannot both tell the truth and not tell anything at the same time, when up against a particularly nosey employer.