So her recollection is that she was in the house to view Lincoln's funeral procession. She didn't, because she was three and got scared, but it was still an event she was a part of.

Even if she didn't remember whether Teddy was standing at that window at that time, she probably knew that she at Teddy and his brother were at the mansion for the event.

So we have the Roosevelt mansion, knowledge that not many boys would have been allowed to be in that window, and confirmation that Teddy Roosevelt was there watching at that time.