He nods, says thank you, and let's her go. He'll hang out for a little while longer to scope out the town square before going back down.

If it's all right, I'd like McCree to do the same thing in several additional loops (obvs not the ones where other Reclaimers find Erinne alone at the top of the Red Keep) because he thinks Erinne could do with the nice duet and thoughts of her sister after that fight with Adriel. He doesn't try to pry more out of her; he's just wanting to play the duet a few more times.