She seems to relax, slightly, when he mentions that he doesn't know who she works for, giving her a slightly stronger position than she was afraid of. "Then... what would you want?" she asks, in return, knowing that her survival chances, as an outed spy, were pretty low, especially against a foe like him; against most demon lords, she could hope to flee, but not here, not now. She clearly knows surrender and willingness to work with him are the best methods, and he'll know that, as well, given her position.