They saw her get into what they thought was a cab.
What 'they thought' does not prove what Natalee thought. You're trying to project the mistaken impression of a group of likely inebriated teenagers into the Natalee's head.
All that matters is that she is missing and she was last seen with these three cretins and all three have lied and changed their stories.
One or more of them know what happened to Natalee.