If you are already married now AND your government states that you were NOT married before, AND there is no documentation of a previous marriage, as you say, then I would not raise the issue at the interview. I'm sure that most of us could raise issues about our past lives that would open up a whole new set of problems. It is not like we are trying to hide anything, but, why create problems when it is not called for? However, if you are asked, then you must tell the truth. If you lie, they will catch you. I believe the worst that could happen is having the VO ask a question about your previous marriage. You answer truthfully. The VO may have you return with some kind of proof, whether in a form of a letter, or other documentation, to overcome the denial. That is, in my opinion, the worst case scenario. If the question never comes up, then you are home free. Of course you could alway prepare some kind of notorized proof and bring it with you just in case the issue comes up. These are only my opinions. Others may have other ideas. Good luck.
I also agree with
iamrok above. If this previous marriage is legitimate, and there is possibly some documentation laying around somewhere, then don't try to sneak it through at the interview. Cover your bases before you go. Possibly try to reschedule the interview if you need more time.