All airlines understand that pilots, in order to move ahead in their careers apply and reapply to more than one airline at one time. Depending on the size of the airline you are applying to, they already know their staff turnover rates and how long they expect to keep you. So always be honest, a recruiter or employer or HR person can spot a red flag a mile away, so if you have applied elsewhere then simply say yes, but be smart about it, if they then ask you who, then tell them, more importantly they want you to proove to them why you want to work for their airline so you must have thought this through specifically in regard to that employer and have credible reasons for your applications to others.
Hope that helps!