I suppose it depends on the surrounding culture, communication style and past experiences.
For the one that seems to appeal to their sense of what is right to ask and what not, I expect things like "Oh, plain curiosity, sorry for asking, did I offend you?? Sooo sorry... I thought you were wearing a wig, but you'd know better, right?".
Myself I wouldn't go for giving false reasons, I'd sooner tell what my reason is - I don't have my own hair. My mother has had breast cancer so that is too why I am sensitive to the particular topic.