What does "Naughty" mean in this context?
John: 'And as a special thank you for all you've done, we're treating you to a meal out.'Sue: 'You're really naughty.'

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In that context in British English it means 'oh you shouldn't have!' (Treated me to a meal)...'you're so cheeky!' 
It's common to (playfully) pretend to turn down someone paying the whole tab & then accept the other person's treat.

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Sue means that John is doing something she thinks he shouldn't be / isn't meant to / doesn't need to. 
It's a colloquial way to thank you and that their action is unnecessary.

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