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I hate to say it, but reading this, I think they were making out in the shower and had the boy tell everyone that they were his sisters so no one would ask questions about them. They responded to the male voice because apparently to them, it represented authority. I don't think you did anything wrong. I commend you for thinking about the boy and the fact that there might be a "situation" none of them could speak about.
I, on the other hand, would probably have gotten written up because once I informed them that we were closed, I would have given them 5 minutes before I went in to see what was needed. I would have handed them a towel, checked to see if they needed shampoo washed out of their hair, whatever, I'm shameless. But I guarantee they would think twice about staying in the shower after hours again.