Well, it was definitely about things the cadets didn't believe possible - that would be the whole point of the "losing" bit.
Whether it would be unrealistic to have Klingon battle cruisers inside the Romulan Neutral Zone, we don't know. There has been all this talk about a Klingon-Romulan alliance, and even though none of it is actually verified on screen, it would certainly account for this sort of "military aid". For an opposite take, it wouldn't be unexpected to find Klingons luring Feds into the Romulan Neutral Zone to die; the resulting war between Feds and Romulans would be to the benefit of the Klingon Empire. For all we know, Saavik was just reenacting a set of events that had been hot news a few months ago!