Embarrassment requires caring what others think, after all, and he's not one to do that, with a few exceptions. Bootstrap was one, because old Bill judged him on the only things Jack feels matter--the rum he could drink (more than any one should be able), the whores he could charm out of charging (and every brothel in the Carribean holds at least one) and the men who would follow him (and perhaps, given events, that one might not say much for Jack, but he prefers not to bother thinking about that).
Jack Sparrow doesn't understand embarrassment, because he doesn't try to, because he doesn't care. So when young Miss Swann approaches him, he doesn't care, doesn't look up from where he's sprawled on the deck, just smiles a little.
"What is it that's holding your attention so? Perverse wood cuts?"
Ah, so she's still cross about him catching her in her corset (not that he meant to, of course, and not that he thinks she should care, anyway, even if he had, which he hadn't, most likely).
"Not quite, lass."
"Not likely you'd be looking at anything other, unless it's to find more treasure."
"Of a sort," he agrees, and holds the book out to her so she can read it, watching her brow furrow.
"Don't try too hard. S'in Greek, love. Not part of a proper young lady's education, I imagine."
Elizabeth blinks twice.
Jack Sparrow takes the book back and now he's truly ignoring her.
Jack Sparrow doesn't understand embarrassment, and doesn't bother with it, but he doesn't care to explain things sometimes, either, things like how he wasn't always a pirate, because that's the closest he might come to it.