Cobra went through a mental checklist. Ok, for some reason, Sorano had been tasked with investigating this place. He couldn't deny that the main premise of the building was suspicious, nearly anyone would think such upon hearing about it, but it wasn't like it wasn't the seedy part of town anyway. Did Jellal (or at least he assumed Jellal) actually find the place that strange as to investigate it? She certainly hadn't wanted to be here at first, and he knew she wasn't such a saint of a person to stick around just based purely on obligation.
Right now, while she still held the opinion that the place was skeevy, Lucy had earned enough of her goodwill that she no longer assumed the absolute worst. His goal now was to seal the deal, essentially giving her absolutely no reason to come back at all. And that left him with a cavalcade of questions.
If she was unsatisfied with his answer, would she become more suspicious? Was further investigation really inevitable? He couldn't allow that. Even if she only saw Lucy, it's possible that she would be able to deduce that he was involved somehow. So it order to avoid that harrowing outcome, what he needed was a satisfactory answer, one that not only satisfied her in terms of the character she assumed of him and one that alleviated the last of her suspicions so that returning would seem pointless. Or, at least enough that she wouldn't come to break in later...
Cobra took a deep breath and waited another moment, pretending to be "thinking" about the problem. He then uncovered his face from his hand and risked a glance over at Lucy, only to find her furiously scribbling something.