I'm going to be short with my prying friend
Is there something you don't want to discuss with your friend?
I am entitled to my own privacy. What my girlfriend and I do is our own business.
You are right to be irritated when someone is prying into your personal life. However you should also understand that your friend may just care about you and want to help you with any potential problems. I don't think that you should act short with them.
I bet my friend is just jealous of how happy my life is.
This could be the case. It makes sense to want to keep certain things about your life private. Just let your friend know how it makes you feel when they are prying.