That...wasn't the response he expected. Shock and horror, certainly - he's gotten shock and horror from Barrayarans when he's said that before. Curiosity and understanding, because that's usually what comes from Betans. But from her...

"Ah," he says, taken aback, uncertain, a little thrown by that question. He struggles with the answer to it for a moment, because, well...He can't outright lie to her. So instead he answers, a little evasively - "I am Barrayaran."