I'd let him. Whether she's a spirit or a flesh and blood woman,she's in need. Heck, let him know secretly and leave it up to him to decide whether to share that fact with the rest of the party. In his shoes, knowing she's a spirit would only increase my desire to help her because it also highlights my own character's gifts in the eyes of my party. It's good to have your fellow players think your PC is kind of cool.
I agree with Dunn. Just because one player knows Zellana isn't alive any more doesn't mean her need and the needs of the PCs aren't connected.
What matters most is that the PCs develop a bond of trust with Zellana. That's what really drives the story as much as the other things.