If you tried to explain the situation logically, it's likely the guards thought either or both of the leaders were involved, as it's obvious these lousy grunts weren't responsible for whatever reputation Naked Mummy might have had within the law enforcement. People always expect the worst, you know. Like if the robbers had had a lookout and he had screamed: "The Fairy Tail is coming!", these miserable Naked Mummies would have immediately assumed Erza, Laxus, Natsu, or some other asskicker Fairy Tailer is the one arriving. Not Lucy that noone has ever heard of. Yet it was Lucy nonetheless.