It's genuinely not that wild a conclusion to reach, and less convoluted than what actually happened.
In any case, this is why George hasn't been more insistent about getting answers regarding Cheerleadra. He realized there's a line there he doesn't want to cross.
Doesn't mean he's not going to be grumpy about not being in the magic loop.
Something about Nanase being in love with Cheerleadra just feels weird to me. Part of me wants to think it should be easy to imagine, but no. It just seems weird to me.
Fun as a misconception on George's part, mind you, but still weird.