It's one of the more normal reactions, honestly. Lucifer knows that look well. The sort of this is a joke, right? kind of look. Some of his best friends and loved ones have given him that look, many times!

"That's my name. I prefer it to Beelzebub, anyway. And yes, I can assure you, I am the real deal, so to speak. But I'm not evil. I'm more than happy to tell you the whole sordid story if you want to hear it, but the short version is, I've reconciled with my celestial family, I changed around the rules of Hell a bit so I could help souls escape and get to Heaven, but I'm taking a short sabbatical to help someone here."

Got all that?