Since he first saw the floating Traveler's companion, Kaeya was interested to figure out what Paimon was. She first popped out of nowhere in a storm of sparkles next to the Traveler in the Library where they spoke after Dvalin's attack on Mondstadt and since then he was diligently gathering information.
When the Traveler explained their story to them Kaeya couldn't stop himself from scrutinizing the tiny creature Floating next to the Traveler, hardly believing what was shared. Especially the bit about fishing Paimon out of the sea. But now here it was, the confirmation of the reports. So, Kaeya had to believe.
Today he followed the Traveler to the Good Hunter's where they had proceeded to buy a few dishes easy to eat on the way, such as Mondstadt Hash Browns, Chicken-Mushroom Skewers, and Fisherman's Toasts. Kaeya noticed the Traveler was ready to finish her order but then Paimon continued to add on to the list of foods, such as Sweet Madame and Sticky Honey Roast. Sara had quickly added the requested items before the Traveler could object. When the dishes were ready the pair went to sit at one of the tables and the Traveler slowly munched on a Skewer as they watched Paimon vacuum the plates clean of the food.
'No wonder the Traveler picks up everything they see in the wild if they must feed Paimon,' mused Kaeya as he observed the pair. He also had made a note to speak with Sara, so that she would let the Traveler cancel the dishes if it was needed.
As a result of Paimon's order, the Traveler set out of the city much later than intended for the commissions. They had quickly dealt with the commissions before setting out to explore. All the while Kaeya followed them at some distance. Most of the time Paimon was flying around the Traveler and telling them stories and legends of Teyvat, pointing out various plants along their path.
During this stakeout, Kaeya was 'lucky' enough to observe Traveler and Paimon in battle. Whenever the pair stumbled upon a hilichurl camp the floating Faery would disappear and leave the Traveler to fend for themselves, sometimes choosing to appear and distract the enemies. Unfortunately, it was not a fool-proof plan, distracting the Traveler as well and being sometimes the reason for their wounds. Luckily the Traveler was prepared to be wounded and quickly cleaned their wounds before bandaging them.
Kaeya would have to talk to the pair, and maybe suggest another way for Paimon to help the Traveler if she chose to do so. It would be very unfortunate if their Honorary Knight would suddenly keel over due to wounds. And horrible PR for the Order of the Knights of Favonius. The last thing it needed was news that the Honorary Knight had succumbed to their wounds... While the Fatui were in Mondstadt it would be better not to have any weak spots.
"Kaeya!" the floating riddle of a creature greeted the Captain as he was observing the Traveler fighting another camp of Hilichurls. Their hard work in clearing the camps all around the city was much appreciated.
"Paimon," he greeted the Faery. "Productive day?"
"Hahaha, very much so," Answered Paimon, gently bopping in the air. "Paimon was wondering what you were doing out of the city?"
"Oh, me? Just went out to clear my head for a bit," replied Kaeya, his eyes glued to the Traveler. "I couldn't help but notice that from the description the Traveler gave us of the Unknown God you look very familiar with the description."
"Oh, is that so? Paimon is pretty sure that she is not the Unknown God though Paimon can't be sure as Paimon doesn't remember much before being fished out by the Traveler," the Faery twiddled her fingers, shyly looking up at the Captain.
"That's okay, I guess," Kaeya waved her off as the Traveler finished collecting the spoils of the fight with the Hilichurls and was looking around, most likely for their companion. "Thanks for answering my questions."
"But you didn't ask any?" the Faery asked in confusion
"Pass along my greetings to the Traveler," Kaeya waved her off and briskly went back to Mondstadt.
He still didn't have enough information to make any kind of decision about what Paimon was. He will have to try alternative resources.