Even if he knew about the arm, I don't think he's seen it without its faux-flesh sheath. It's pretty disconcerting and I think he was just plain gawking at first. But once he processed it and correctly interpreted the prominence of the arm signifying that Nina is hiding something, that made him suspicious.
"The only thing better than a cow is a human! Unless you need milk. Then you really need a cow." - Walter Bishop
Maybe Peter detected treachery in Nina because they were in Olivia's head and Nina's robotic arm appearance was how Olivia used to see her when she didn't trust her in the early seasons.
I'm sure she would have described Nina to Peter as a creepy-arm-lady in their early interactions with her. Now she's always wearing the skin cover and they know more about her. Plus everyone else had just been chasing them, I'm sure Peter would have had his guard up.
Nina's conversation with Sam Weiss made it quite clear she wants this universe to survive so i doubt she would be feeding information to Walternate or helping him in any way.
However, Nina seems to be quite cooperative this season and is obviously not in league with Sam.
I still hope Nina becomes more important because I love Blair Brown!
I'm not sure how to interpret Nina's behavior in Olivia's mind. Remember that Olivia's mind was perceiving Walter & Peter as hostile so it could be that Nina was just protecting Olivia. I also thought that Nina could have been protecting Bell from Walter & Peter (or "Waltoon" & "Petoon" as someone has dubbed them--guess that would make Bell "Belltoon" or "Willtoon").
True to her character, we remain unsure of Nina's motives.