Storm of Swords – The Trap Door
Shae tells Tyrion where Varys’s hidden door is but he doesn’t believe her.
Tyrion is constantly underestimates Shae. It’s hard to see just how smart she actually is. The only real time we see what may or may not be her true face is when she grins across the room at Sansa during the siege of kings landing. But even at his best Tyrion needs to be the smartest man in the room. Because of this, he is reluctant to accept anything she tells him. And because he thinks what Shae told him is ridiculous, he fails to ask follow-up questions such as; “Did you see which rock Varys pressed?’
On another note, it makes me wonder why Varys volunteers this information to Shae at all. Personally, it gives some credence to some of the fan theories suggesting she was Varys’s agent all along. In which case, the reason Varys knew that she was at the inn was that she told him and Varys makes his appearance not as a subtle threat to Tyrion but as a way to make his skills look all the more impressive.