Panel 1: We see Elly on the phone; since she's holding the handset in her right hand, she can only make half of that ridiculous palms-out gesture as she tells Connie that she doesn't know who that girl is.
Panel 2: She then tells her to do something that used to be "Look, just go on down to the club and take in a show with your cousin" but isn't any more because said cousin fell down the memory hole. Now it's "Look, just go on down to the club and take in a show."
Panel 3: In a masterpiece of doublethink, Elly tells her "Connie, this is your problem and I really don't want to get involved."
Panel 4: Since she knows that she is involved, Elly thought-bubbles "Famous words...usually spoken when you're up to your neck in someone else's business."
Summary: She does know that she is involved but that's the limit of her awareness; she will find some way to blame the whole stinking mess on Phil and Phil alone.