Like I thought in previous chapters, he's likely not the mastermind behind the trade at all. He's related in some way, but perhaps trying to bring it down himself or take it over or something, but was misinterpreted in the game as being the culprit in this event.
Remember the game story wasn't finished yet, plus there needed to be some plot twist down the line to make him a future playable character.
Here, he's playing it so cool bringing her along, and his reactions so far imply something more along the lines of amusement both at jer knowledge of the drug operation, as well as her "mistaken" belief that he's behind it.
Also, it's been really funny she doesn't realize how much gangster blood is in her. She's well aware she's good at and often forced into dealing with underworld stuff. But sometimes, she likely doesn't grasp just how far the level of nonchalance and aplomb she adopts is from that of a normal girl. Asking for the gun is something she was probably conscious of....preparing the strap under her dress beforehand and tucking it away right away in front of him, less so.