Avengers: Endgame - 20 Things We Learned From The Director's Commentary
15. Nebula Didn't Explain The Vormir Situation Because She Didn't Know
McFeely also confronts one of the film's most commonly-cited "plot holes", that Nebula doesn't inform The Avengers about the sacrifice required to obtain the Soul Stone from Vormir while they're plotting the time heist.
In a case of the simplest solution being the correct one, McFeely confirms that Nebula didn't tell the Avengers about the soul exchange because she didn't actually know about it.
She knew that Gamora (Zoe Saldana) didn't return from her trip with Thanos, but naturally the specifics are left up in the air, and it's entirely possible Nebula thought that Thanos killed Gamora after she tried to stop him retrieving the Soul Stone.
In fact, the only one who knew for sure, at this point, was Red Skull (Ross Marquand). The whole debate about this plot point is a classic case of the audience failing to appreciate the dissonance between their own knowledge of events and that of the lesser-informed characters.