This is a tough one -- clearly, your nephew did not want his family to find out about the incident and preferred to handle it himself. Further complicating things is his father's death, as it sounds that he leaned on his father more than other family members, and to come to others may be a reminder of his father's absence. With that said, there isn't a "right" thing to do here. You and your sister could say nothing to him and let him continue to dictate the terms of your relationships, you could also let him know what you've learned and that it's up to him to tell you what he'd like you to know.
As far as the last comment you made, I refer you back to your initial comment about this being "normal teenage behavior." It is the norm to keep things, particularly sexual matters, private, it is a way for teenagers to feel safe enough to become more independent and autonomous. This does not mean that he will never come to you or your sister, but it may be some time before he does.
Dear Dr. Greenberg,
Thank you for helping us put everything into perspective. Your advice really gave us a sense that all will work out in time. We were really blindsided and your thoughts guided us to a calmer place.