I wouldn't immediately believe either of them; I'd be very suspicious of both of them, myself. I would demand more proof from both of them. I would also scrutinise his behaviour in the last weeks, since around the time you received the initial friend request.
Regardless of anything else, he went round hers - was inside another woman's home - and never mentioned that to you. That, all by itself, is really not on (at least in my marriage - in either direction), and it would be enough for me to ask for all of the phone records, emails, facebook chats, etc. between them, preferably before he's had a chance to delete them. If he were so innocent, he'd be happy to share. Then again, if he were so innocent, he'd most likely have mentioned something about this situation before.
Does he have any genuinely valid reason to be inside her home, just the two of them? Did he ever show you any of the messages that she sent, or even mention any of this at all? Or, let me guess, he went ahead and deleted them, rather than "worry you" or whatever nonsense? Oh, and did they know each other before this group thing, or did they meet only recently through it?
I can definitely see the possibility that she is lying. I have seen that myself a few times, when a particularly vindictive or unstable person is rebuffed by somebody and so tries to ruin their relationship to get their own back. However, there appears to be a bit more going on here than just that.
Could you meet up with her in person to speak? Would you want to? If you could see her face when she told you the story - or perhaps even see any communications between the two of them from her end, rather than deleted history from his - you could possibly get closer to the truth.
I wonder what his reaction would be to you suggesting you meet up with her to speak further? Or better yet... I wonder what his reaction would be to you telling him you've already gone to speak with her and look at the messages she still has saved on her phone...!
@GwenStacy - Before I left facebook, I would get messages and never see them. In fact, I never saw most messages, unless they arrived while I was online and actively looking at the messaging service. I've had several unread messages going back ages, that I would never have seen unless I'd gone into the messenger app.