Littlefinger was always creepy, but even more so with Sansa - considering he was always holding a torch for Catelyn and he's even mentioned how much Sansa looks like her mom. Ew.
Also, I have to believe Oberyn is smarter than to just take Tywin's word. That would make it all way too easy. And while Tywin is certainly the most pragmatic and forward-thinking of the powermongers in King's Landing, it can't always be easy for him.