Nagato resisted the temptation of trolling harder by straight up telling the truth and saying 'Yeah, I'm an assassin for the mafia' and playing it off as a joke. Instead, rather than that, he chose to answer with a half-truth, "my mom and dad come here pretty often 'cause of their jobs and all." That wasn't really a lie... It was just he also came here for jobs. Alone. And his, as well as the rest of his family's, job involved being an assassin as previously mentioned. 

"And yourself? You go to school here, but you don't seem to be a native," Nagato asked innocently.