He sprung her name upon me, upon learning I was a god.

[ Claude's reaction is mild, innocuous. Likely made of concern for Byleth, and it still stings. To Set, it comes with an overtone of judgment. Why you? ]

That does explain why he asked if I 'had a star', as well. 'Sothis' being another name of Sopdet is also not surprising, we often have many names associated with us, dependent on our humans. If anyone knew anything about a goddess of some star, it would have been Nut. She is the embodiment of the sky and all that resides in the heavens. Stellar goddesses would be under her authority.

[ A pause, before. ]

She probably got tired of being a two-bit side piece in Egypt and crossed liminality to become some hot shot in Fódlan.