This really depends on the context and the situation. There are two sensitive things in play here:
- Appearance of how you are as a team and as an organisation (Collaboration, understanding, preparation etc)
- How the applicant perceives you and your organisation (outsider view).
I'd say, in case the error / falsehood is something non-critical or non-fatal (ex: not involving something that put something or someone's life at risk), and is limited to a very specific incident, I'll let it slide that time, and speak to the colleague about it privately after the interview.
However, if this is something more serious of nature (ex: related to ethics, integrity, or individuality etc.), I'd intervene, and try to drive the discussion / topic away for that moment (and if needed, apologize in general). However, if there's a strong conflict with my colleague there, I'd request them to step out for a moment and try to sort it out privately.
Either way, almost always it's not a good idea to "correct" another colleague in an interview session, or at a presentation, or at any situation where someone from outside the oragnization is present. Anything that needs to be done, I'd do it privately, possibly away from the eyes and ears of the candidate. However, I'd definitely do something, so that this is not repeated.