Scans_Daily

Azula knew that Mai had a crush on Zuko when they were young children. While it's true that Mai still cared for Zuko ten or so years later, Azula couldn't be sure of that. If Mai wanted to play it so safe that she pretended not to give a damn about the survival of her baby brother, then she could have been all "oh, that boy I liked when I was five? Who gives a crap about him anymore" when Azula mentioned Zuko.

Honestly, I believe that whole kidnapping deal with Mai was an example of Characterization Marches On.

http://tvtropes.org/pmwiki/pmwiki.php/Main/CharacterizationMarchesOn

Mai developed into an awesome character as the series went on, but her introduction tried too hard to introduce her as imperturbable and ended up portraying her as an asshole. Her horrible behaviour in that episode can be rationalized away by fans who are fond of the character she eventually becomes, but personally I could never forgive her for it.

So, to me, this comic where Mai is protective of her baby brother was a much needed fix.