Unmanned aerial vehicles (UAVs) and Terahertz (THz) technology are envisioned to play paramount roles in next-generation wireless communications. Hence, this paper presents a novel secure UAV-assisted mobile relaying system operating at THz bands for data acquisition from multiple ground user equipments towards a destination. We assume that the UAV-mounted relay may act, besides providing relaying services, as a potential adversary called the untrusted UAV relay. To safeguard end-to-end communications, we present a secure two-phase transmission strategy with cooperative jamming. Then, we formulate an optimization problem in terms of a new measure $-$ secrecy energy efficiency (SEE), defined as the ratio of achievable average secrecy rate to average system power consumption, which enables us to obtain the best possible security level while taking UAV's inherent flight power limitation into account. This optimization problem leads to a joint design of key system parameters, including UAV's trajectory and velocity, communication scheduling, and power allocations. Since the formulated problem is a mixed-integer nonconvex optimization and computationally intractable, we propose alternative algorithms to solve it efficiently via greedy/sequential block coordinated descent, successive convex approximation, and non-linear fractional programming techniques. Numerical results demonstrate significant SEE performance improvement of our designs when compared to other known benchmarks.