Guns has killed lovers for sport. He has shot them before, during, and after sex, solely for his own pleasure. Brutality is intrinsic with the god, and Fetish probably knows more about this than she'd like. She has the horrible burden of being able to feel him.
"S'not Bailey's." He doesn't tell her what it is. "And how are you?" Guns dallies with cordialities because he doesn't know what the goddess wants from him. If he's going to get a lecture to the tune of 'be nice', he'll likely tune out and sip his coffee.