The Great Gatsby, shocked at the elaborateness of the lie

I'd like to know if "shocked" in the following excerpt from the chapter Two of The Great Gatsby means "stunned" or "offended, scandalized" or both of them:

“It’s really his wife that’s keeping them apart. She’s a Catholic and they don’t believe in divorce.”

Daisy was not a Catholic and I was a little shocked at the elaborateness of the lie.

Thank you.