Episode three strongly suggests that Rhodey is a Skrull.
Viewers first started theorizing that Rhodey may not be who he claims to be after episode two was released. During one scene, Rhodey referred to Fury as Nick.
Marvel fans may recall that Fury has previously made it clear that people only call him by his last name.
In the '90s-set film "Captain Marvel," Fury told Carol Danvers, "Everybody calls me Fury. Not Nicholas. Not Joseph. Not Nick. Just Fury."
Then in episode three of "Secret Invasion," a Skrull, posing as Robert Fairbanks and pretending to be Talos on the intercom, unintentionally blows his cover by calling Fury by his first name.
"Nobody calls me Nick, Bob," Fury says when he confronts him.
Beyond Rhodey calling him Nick, the Skrull theory seems plausible because, in episode three, Fury tells Talos that he got a lead about a rebel Skrull who's high up in the US government and is in London right now. Rhodey has become a more prominent political figure and works closely with the president. And, more interesting, he was in London during episode two for the emergency security summit.
To pile onto the suspicion, at the end of episode three, Priscilla is seen answering a phone call from a Skrull who sounds exactly like Don Cheadle's Rhodey.
The person on the other end tells her to meet at St. James Church in one hour. When Priscilla says that she needs to speak to Gravik instead, he replies, "Yeah, well, you're talking to me."