He's not surprised that finds himself telling Gwen. She's always been far more observant than Arthur and notices the sadness in his eyes whenever he sees the two of them together, or Gaius with the newly returned Alice, or any couple walking together through Camelot.
"What was her name?"
She sees him freeze but knows that now she knows she's right she won't give up asking.
"Freya. Her name was Freya."
She smiles at him and stops Gwaine and Arthur from attempting to interfere with his love life and the next time they discuss their lady-friends she intervenes before it occurs to anyone to ask Merlin.