".. Something tells me that I really don't want to know what's up with that sausage part."

This may be his one braincell in action. Protecting him from truths he's not yet ready to handle. But he seems to say it in a slightly joking way, trying to keep the mood light - though she seems to be rather good at doing so herself.

"My name is Inigo, by the way. Don't worry, the previous you didn't know any dark secrets about me that you will have to entirely rediscover now."