That would be because he's made of paper, rifle lady. There is a slight dent in his chest, surrounded by crinkled skin, but that's it.

He wasn't hoping to achieve anything from being confused--he's simply confused, though the confusion turns to panic when he gun is pressed against his chest, then slight annoyance when she speaks.

"I'm not spying for anyone. And I'm not on his side. Is he even here still? I thought he left."