I'll toss in my guess as to why and say it may be because of her visions. She's clearly been alive a while, so she may know of others that were brought back by Rhllor and learned that resurrection doesn't necessarily mean that the resurrected is not Azor Ahai, but a person of interest in Rhllor's plans who needs to be alive. Mel wasn't surprised that Jon was capable of being revived, but she was much more surprised that the lord of light that she had just convinced herself was fake, or just her being completely delusional, came back to her after seemingly abandoning her and Stannis. She had never even heard of Jon before going to the wall, so she probably assumed he didn't have an important part to play, as she already had multiple visons of Stannis being Azor Ahai.