Yea she said that at first but a couple scenes later Lucas says "its not glass in your leg is it, it's a bullet." And Peyton was like yea. So she got shot.

yeah lucas was checking her leg and noticed the bullet

Peyton: it's not glass, in my leg, is it?
Lucas: no... it's a bullet. now i'm gonna have to get you out of here... blah blah blah

She thought so,but as you know it appeared to be shot wound.