three is the age at which childrene start to notice difference eg he has a beard but daddy doesn't, why is he taller than me etc so its perfectly reasonable of her to be startled now becasue she probably hadn't noticed before!
I wouldn't worry too much about it - make sure you have photos of them where she can see them. You could try some very gentle books about differnt families
www.amazon.co.uk/All-Kinds-People-Lift-Flap/dp/1857070674/ref=wl_it_dp?ie=UTF8&coliid=I1N1MNBLLPHW8& colid=O958ZHSOY0JH
www.amazon.co.uk/Family-Book-Todd-Parr/dp/0316738964/ref=wl_it_dp?ie=UTF8&coliid=I2KT5VYJ3K3RHX&coli d=O958ZHSOY0JH
She's really too small at three to understand why its possible for her white daddy has differnt colour children (though if her hair colour is different you might try pointing that out).
Your explanation is perfectly reasonable so stick with it - try to find photos of familie in magazines of mixed race families and make your own book if necessary!