Anzu doesn't lie to herself, she doesn't pretend. She isn't the kind to do that, she faces facts. If something is true, she faces it, no matter how ugly it may be. For instance, she knows full well that the only reason Kaiba-san is here is because the guards forced him, and the only reason he has his face between her legs is that Siegfried-san has a gun pointed at his head.
Even though she knows why he's here, and even though she knows this is wrong, she's going to let it happen, because he's so good. He's awesomely good, fantastically good; she wriggles around some more, and squeals a little, when his tongue hits her most sensitive spot. "Oh, Kaiba-san!"
"Say Oh Siegfried," he tells her, "I'm the reason he's here," and he tweaks her right breast.
Swatting him away, "stop it!" She rolls her eyes. "Oh, Sieg -- Oh, Kaiba-san!" she shrieks, as his tongue goes into her further than she ever thought a tongue could go, "Oh, god, more, more!"
"No, you idiot girl," this time he slaps her. "Don't you realize it's all me?"
It's things like this that can make a girl lose the mood. Isn't it enough that she knows what she's doing is wrong? Isn't it enough that he's beside her, with his Glock in his hand and that creepy smile on his face? "Be quiet, Siegfried-san," she tells him, "one more word out of you, and I'll quit and go back to work at BurgerWorld." And she grabs Kaiba-san by the hair, and pushes his head back into place. "Go on," she says, "start from when your tongue was… No, over… Ahhh, yes… Yes, yes, yes! Now do it harder, or I'll let my boss shoot you."