Why were the girls nervous about the soldiers on the train?

The girls were afraid that the soldiers would discover Ellen was a Jew. They were afraid Kirsti was going to blow their cover.

One of the soldiers looked down with a bored expression on his face. "Where are you going?"he asked.
"Gilleleje,"Mama replied calmly. "My brother lives there. We are going to visit him."
The soldier turned away and Annemarie relaxed. Then, without warning, he turned back. "Are you visiting your brother for the New Year?"he asked suddenly.
Mama stared at himwith a puzzled look. "New Year?"she asked. "It is only October."
"And guess what!"Kirsti exclaimed suddenly, in a loud voice, looking at the soldier.
Annemarie's heart sank and she looked at her mother. Mama's eyes were frightened. "Shhh, Kirsti,"Mama said. "Don't chatter so."
But Kirsti paid no attention to Mama, as usual. She looked cheerfully at the soldier,and Annemarie knew what she was about to say:This is our friend Ellen and it's her New Year!
But she didn't. Instead, Kirsti pointed at her feet. "