This is EXACTLY what has been bothering me since reading the report. It is obvious that PG did some coaching of them before going in, because he knew, per his prison letter to KCRA, that Jaycee (and we now know Nancy as well) had repeatedly asked for an attorney and the report bears this out. He knew they were on to something and had ample time to prepare.
Why would he bother with coaching them on that and not on which story they would all tell? It's not like they started off the same, and then PG deviated when they put more pressure on him. Right off the bat he says all three are his brother's daughters who are staying with him.
The first story Jaycee goes to is that she is the girls mother. Totally different from PG's. She later apologizes for lying and says she's an abused housewife from Minnesota. It's pretty obvious that these are both PG scripts and she changed from one to the other when she realized that the police were on their way and what hot water she was in, because being an abused wife from Minnesota in no way precludes being the girls mother. She just wanted to follow stories precisely, no doubt like she'd been ordered to by the Garridos, and redacted the first.
As far as Jaycee goes, I can totally understand why she reacted in the way she did. I highly doubt she thought this would end well for her. LE could either give up on the whole thing like they had so many times before and send them all back home with the G's, in which case she would want Nancy to give Phillip a good report on her behavior. Even in the best case scenario she was probably terrified that LE would take her kids away. Remember when she was first recovered and the reports said that Children's Services was assessing whether she would be able to care for them? No doubt PG used that as a threat many times "Even if you get out they will never let you keep the kids".
PG could have brought them all in the first place to prove that he wasn't hiding anything. But I can't for the life of me figure out why they were all telling different stories.