When the three were still together, did Mahiro know Yoshino had a girlfriend? I don't really a scene where it showed he did.

I only recall Mahiro commenting on Yoshino's girlfriend after he came back as a mage. In fact, I think he even said something like "you have a girlfriend now", to which Yoshino replied in surprise "How'd you know?". If Mahiro never knew Yoshino had a girlfriend, there would have been no reason to pretend he had one (and still does). The fact that Yoshino even went out of his way during his reading task to tell the girls in his class he had a girlfriend suggests to me that it's a personal thing to him, rather than an act he puts on to fool Mahiro.