Speaking in innuendo is when you say something indirectly — often of a hurtful or sexual nature.
Innuendo in Latin means "to point to" or "nod to." When you refer to something indirectly, you point at it without mentioning it, making an innuendo. If your friend who recently stopped speaking to you glares at you across a room as she says to someone else, "I would never lie to someone I called a friend," she's making an innuendo. Without accusing you directly, she's saying she thinks you lied.