Unmanned aerial vehicle (UAV) mounted relays can provide effective solutions to extend the coverage of covert communications. Nevertheless, ignoring the covertness during channel estimation may lead to the failure of air-ground covert transmission. In this correspondence, a UAV-relayed long-distance covert communication scheme is proposed with the pilot design under finite blocklength. The warden adopts either independent or joint detection schemes to detect the covert transmission. We first calculate the optimal detection threshold and derive the covertness constraints at the warden. Then, the transmit power of the transmitter and UAV relay under these two detection schemes is optimized, respectively. Finally, the optimal blocklength of the pilot and data transmission is obtained by the one-dimensional search. Numerical results show the tradeoff of the two detection schemes and indicate the optimal blocklength allocation scheme.