Roxy expects him to be a little shit. She fully expects him to bodily attack her and he's definitely not going to be happy with her showing up. But throwing things that are on fire at her is something she did not expect.
So her first reaction is to pull her bare forearms up to protect her face, second is to scream in pain as the paper and burning/melted usb stick hits her. It bounces off onto the ground but her third reaction: Roxy is backing up and slamming the door shut in his face. ]