Added clarity in response to my comment is a lovely thing, as it's made me rethink on it...scenarios I see are
1. Admit openly to being Calamity Witch
a. good result - honest and trusting with (best friend
at school , or a close enough friend to call one-of Best Friend(s) anywhere?) , no lies to backfire
b. Bad result - someone overhears doesnt follow the Rules, or Kayleigh is a potential antoganist probing for info (second seems less likely, from SW comments so far)
2. Claim to be Circus
a. good result - probes for information and may be amusing, protect true identity in a sense
b. bad result - Circus themselves come after us for identity theft, associates like Coil come after us because they learned of claim and believed (though he likely knows unmasked IDs of his people?) , overhearing person (potentially a random mundane) comes after us as a vigilante or personal revenge, Kayleigh learns of the lie later and reacts badly, Kayleigh makes plans or takes relying on our false answer and it goes badly because its untrue
3. Deny being a cape
a. Good result - most directly protective of secret identity, avoids potential trap or other listeners
b. Bad result - Can't see how this would lead to an interlude
, shows distrust of Kayleigh if she later finds out we are a cape, likely miss whatever scenario she wanted us for and bad things may happen from lack of our help ,
Claiming to be Circus might be interesting omake-fodder , but if only for the added risks with her being a friend (who we're in regular contact with, and who knows our identity) it feels like thats too much of a risk for its upsides, and I can't see denial being a good idea UNLESS theres just no feasible option to try and make the chat more secure.
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I fail to see why you think it left deep psychological scars, which is the impression I'm getting.
I got the impression they meant less that the first de-masking incident left scars on us (where yes, it gave some reason for us to fear it less, since it went well even) and more that since its not very long after and things haven't changed so much that Taylor should still be reacting largely the same as the first time (less fear for it being a friend, more fear for it being someone already in close contact).
This comment might be out of date though, as I fell asleep and never hit reply xD
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[X] Tell the truth – Circus? Hell no. You are
Calamity Witch.
-[X] Tease her a bit about mistaking us for a cape like them
-- [X] Ask, jokingly?, if now she'll reveal being a cape too
-[X] Ask her to indulge our curiosity in trade: Why did she seek us out under the belief we were Circus?