After a direct quote ("Yes, we did"), the verb of saying ("admitted") is frequently placed before the subject. This inversion is not required, so "Mary admitted politely" is equally fine. In the context shown the correct idiom is "Men whistle at us", not "to us".
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Lynn3 After he had ordered them to stop, he said, " Didn't you hear me blow my whistle?Dear friends,
"Yes, we did, " admitted Mary politely, " but Mummy told us never to stop when men whistle at us"