I don't think Rajeev is lying, coz of he did something wrong, no....
Let me give u some proofs....
It might be Captain Rajveer wants to stop Naina to think about the one who kills Naveen, coz it might affect being her in the KMA, and that is why he said like this, that Naveen shoot him self....
He has many reasons to hide it from Naina, once because he knew that Major Baghav will take this chance when Naina is thinking about the killer, to irriate her more, so Captain Rajveer said like this to make Naina stop searching about the killer, and conceren in the KMA....
He cried, because he could not tell her the truth, coz of the reasons I mentioned, not because he is quilty or responsible of Naveen's haadsaa....
Regard
Rajeev and Aamna jodi's biggest admirer and supporter forever and ever Zee....