I actually helped Kematu because I didn't believe Saadia's story but now I have a feeling of regret because she's gone forever and I won't see her in the Inn anymore. Was she innocent? What did you do?
Saadia claims she's in trouble for speaking out against the Thalmor in Hammerfell. Kematu claims she's a traitor who helped the Thalmor attack. Kematu's story makes sense while Saadia's is obvious bulls***. Why would you have to run from Hammerfell for speaking out against their enemies? And why would the Alik'r warriors, honorable sworn blades of the sands, be working as dishonorable assassins for their most hated enemies? And why, if they are assassins, do they simply want to capture her?
So yeah, the correct choice is to help capture her. She's lying, and she's a terrible traitor who sold out her people to the evil Aldmeri Dominion. Because of her actions, a whole city was captured and many innocent people died.