It was a good thing she appreciated his humor, because unfortunately Lucy didn't. It's far more fun to have a responsive audience who doesn't think your sarcasm is a bunch of crap, and your witty comebacks are a bore.
Facade, yes. Angel, no, but it was a rather lovely notion, wasn't it? "Alright, you've got me. I keep the halo in my pocket most days. It's hiding the wings that gets difficult. They tend to itch when they're all bunched up."