The “Levels” singer, 23, shied away from answering a question about the actress, 36, during an interview backstage at the Fillmore Silver Spring in Silver Spring, Maryland, on Tuesday.
“Okay, I have to ask you. I hope you don’t get mad at me,” said McKay, prefacing the question all Jonas fans want to ask. “What was going on with you and Kate Hudson this weekend?”
Without skipping a beat, the former Jonas Brother told her, “I’m not gonna get mad at you, but I’m also not gonna talk about it.”
“You don’t kiss and tell?” McKay asked.
“I keep some things to myself,” he replied.
Following their fun day at the amusement park, Hudson caught Jonas’ concert at the House of Blues in Orlando Saturday night. An HOB employee told PEOPLE Hudson seemingly went unnoticed and was smiling throughout the performance.
“She gave him a hug and a quick peck before she went to her seat,” the source told PEOPLE of Hudson. “It just seemed really friendly, not romantic.”
In his interview on Tuesday, the singer was asked how he deals with the persistent rumor mill, which recently linked him to longtime ex-girlfriend Selena Gomez after they were seen at a party in August.
“I don’t know – I’m still trying to figure that out myself,” he said. “The Internet’s a strange place where one little thing can turn into a lot, but it’s about how much of that you kind of want in your world and just living your life and knowing that people will have their opinion but it’s not to be concerned with.”
•Reporting by STEVE HELLING