He's just as nervous as she is, having never done this with a human female. In the underworld, this was a form of communicating interest, and checking to see if you might be compatible with a person. He sends gentle pulses of energy through their joined hands, seeing if he can feel her own energy. If he did this right, she should be feeling light tingles up her arms, stopping at the base of her shoulders. And the fact they're holding hands is an added bonus.