what lie does he make up? why?

As the youth approaches the fires of his regiment, he fears the men will welcome him with jibes and insults. But when Wilson recognizes the youth, he is glad to see him, expressing happiness that Henry is not dead. This is not what the youth expected. He still thinks the conversation may turn toward his cowardice; and so, even in his tired state, he tells Wilson a doctored story about fighting on the right, getting shot in the head, and then getting separated from the regiment.