[ He sure did hear it, and she sure is confirming that it wasn't his imagination now. Not that he thought it was with how fast Gray was to take off in this direction anyway. The open scowl on his face shows that he's well aware of the fact that she's trying to dupe him at the moment, though he still plays along with the act (sort of). ]

We were talkin' just fine a second ago, weren't we? You're makin' me think that I'm the kinda guy you don't like talkin' to instead.

[ Or more, he's starting to get the sense that even Gray can be underhanded (or at least badly attempt to be underhanded) when she wants to. ]