"All right, I believe you," Mal said. He was unsure if he believed her, but he was willing to give her the benefit of the doubt. If he could show up in a place where Shepherd Book was still alive and the Alliance didn't exist, except in a way that made it even slightly better, it's possible that banshees could exist.
What he didn't like, however, was someone thinking that he would tell on them. That wasn't the Mal Reynolds way. Regardless, she didn't know that, and unlike River, he couldn't read minds. "They're lettin' people go down a couple times a day. I'm s'posed to go down in a few days, with my engineer Kaylee."