Help! My Born-Again Neighbor's Wife Peeps Through My Door, What Should I Do?

"Alright! Let me get this straight up!
 

I packed into this house early November last year and shared a 3 bedroom flat with this born again couple married for 4years but no kids. I'm a kindof of guy that prefers privacy so much that I can stay in doors for the whole day (thanks for the constant power supply) and I've made my neighbour and his wife understand this.
 

It all started the 1st time I had a female visitor, the look on the woman's face wasn't 't friendly at all to the extent that my friend even noticed it, but I told her to overlook it since I am new here.

 

But just this Tuesday a female friend visited me. After bathing, we cuddled and were watching movies with the fancy lights on when I felt that someone was watching us through a little hole on the door. My friend confirmed it too. When I stood up, the person by the door moved away and I feigned ignorance and continued with the movie.
 

Few minutes later the person came again. This time I rushed and opened the door, the Lady ran inside and jammed her door.
 

The funny thing was that her husband was in d bathroom outside waiting for her to join him. I went back and slid the curtain and saw that she quickly came out and join the hubby in the bathroom.
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Now my problem is this, Should I confront her or report her to the husband before it turns out to be another thing?"