Something that I learned in therapy years ago is that I shouldn't set someone up to lie to me. (It was mainly about kids.) I'm not blaming you for his lying, but I think that it's a step that could have been avoided if you had just said that it looked like he'd been looking for her and then addressed your concerns about that. If it's the first time you've dealt with something like this, then he may have had reason to believe that it was just easier to keep it to himself, especially if he never found her. If you guys haven't had this issue before, then his first response was not to come clean about something that he chose to process privately.
We often think that getting married gives us rights to every thought that our spouses have. It would certainly make us feel more secure. We're still individuals, though, and all we can ask of our spouses is that our agreements be honored in certain behaviors. We cannot control what or how they think. If we care to garner their confidence and trust, then we have to be mindful of how we approach them and what we demand of them.
Your focus in on the wrong thing. Talk to him about what he hopes to accomplish by locating her. Treat it as a getting-to-know-you session, not an inquisition. Let him share with you, and hear him. This is what will teach him that he can trust your responses to this type of information, and lying won't be his first choice. The lying does not automatically mean that he had ill intent. It likely does mean that this was a thought that he wanted to keep to himself for now. Either he didn't want to share it at all or he wasn't sure of how to share it without getting a mouthful from you, and it wasn't a big enough issue to him to get you all upset. Once you talk about it, he'll know.
Oh, and I look up people all the time and don't tell my husband. If he were to question me about it--accusatorily--then it might bring feelings of shame that I would want to cover up. Maybe I had a moment of curiosity and felt a little creepy about it.
Try to stay on task when "confronting" him. I think that the way you did it was tricky. This is why men don't like to talk to women; there are just too many angles and corners involved. Address the issue that you want to address, and leave no room for miscommunication.