Lilhy pales, but only slightly, and with her already quite colorless complexion it hardly matters anyway. She will burn, and burn badly, once they're at sea, which is something she learned through bitter experience.
"You would not dare, and furthermore I imagine you could not accomplish such a thing without assistance." The implication is quite lost on her; she means to say she could likely take him in a 'brawl', as he put it.
"Still, do not think me ungrateful. I quite appreciate the idea of my safety."