They didn't. Hades liked Orpheus music too much and decided to keep it for himself, so he ordered one of his subjects to make Orpheus think that they had reached the outside. Since she had awakened the eight sense her soul didn't vanish but was still locked in the Underworld because of Hades' power, so Orpheus stayed there with her. For centuries, until we went to the Underworld and he joined us in the fight, but he was killed, and when Hades was killed, and the Underworld was destroyed, Orpheus' wife's soul probably suffered the same fate.

[So he didn't lie, no one until his generation was able to return from their travel to the Underworld.]