It was the begging that made him stop. Made Jimmy make him stop. It was a close call, though - Sam was a second away from pulling the trigger (he was determined to follow through on his threat), but Jimmy wouldn't let him. He wasn't a killer, even for Annie and Teddy, and Becca was innocent. Azazel was the one who'd taken them, and he'd known that from the start, but Sam chose to ignore that and make Ruby his scapegoat. Jimmy couldn't do that.
He closed his eyes for a moment, and when he opened them, Jimmy was the one looking out - horrified, terrified, lost Jimmy. He stumbled backward and dropped the gun. "Becca," he gasped. "I'm sorry. I'm so sorry. I just - I couldn't - he took Annie." His legs couldn't hold him up anymore, so he collapsed on to her couch and held his head in his hands. "I'm so sorry."