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So, I can't remember if it ever mentions this in Avatar: The Last Airbender because I haven't watched it in years, despite having been able to.
But, anyway, here we go!
So while Sokka and Katara can speak English, they can also speak the language of their tribe which is their first language. When they are talking late at night or sometimes when they're walking around, they slip back into the language and just talk, whether it's about their next mission, some juicy gossip they heard, their feelings, it doesn't matter. Just the familiarity of it makes any conversation that much better. It was almost a way to make it seem like they were home.
One night when they were doing this, the rest of the Gaang woke up hearing it and thought they were under attack. But when they found that their foes were in fact their friends, they lowered their weapons and sat down to listen in secret, despite not being able to understand it. Just hearing the foreign language and seeing the two of them talking like this was beautiful in a way to them. So beautiful, in fact, they all agreed to not say anything in fear it would scare the pair into not doing it anymore.
Bonus:
When they do something illegal in a place where they’re not recognized and all else fails, they fall back on Plan E and pretend they don’t know English at all or only one of them (typically Katara) can understand a little bit of it.
Maps of The Gaang’s Travels throughout the series.
Sokka: Aang y'know how you took away Ozai’s firebending?
Aang: I recall yes
Sokka: can I have it
Aang: …what?
Sokka: can I have his firebending. just for like ten minutes
Aang: what no
Sokka: why not I wanna prank zuko
Aang:
Aang:
Aang: okay five minutes