Davos knows, but he wants to pretend to himself that he doesn't know.
In Davos's last interview with Stannis it's clear to both Davos and Stannis that Stannis's cause is hanging by a thread, and blood magic was their best and perhaps only way of avoiding disaster. Davos has come to accept the power of blood magic, but the only royal blood around is Stannis's and Shireen's. That places Davos in an untenable position: be complicit in the death of Shireen, an innocent child who he loves, or see the defeat of his king and the triumph of the Boltons. Stannis sees Davos's dilemma, and both to spare him direct involvement and to forestall his potential interference, sends him off on a pointless mission to Castle Black. Davos perceives this, but goes along with it, and it leaves him maudlin and tongue-tied when he goes in to say goodbye to Shireen. Shireen picks up that something is amiss with Davos when he give her the carving.
He asks Melisandre only because he desperately hopes that, against all hope, Shireen was not sacrificed. Perhaps he's hoping that Stannis finally refused to kill his daughter, there was no blood magic, and that's why Stannis lost.