[ No laugh or indication that he understood the joke... which leaves Lailah to explain no more than a second after she says it and gets no response. ] Flighty is a bit of a play on the definition for being skittish and for the mention of Seraph being also known as 'angels' who are imagined to have wings, so--

[ Long story short, she was claiming by saying she's not flighty that she wasn't startled that much or has wings like an angel. Too bad she has to explain the joke just so he doesn't miss the opportunity to laugh..!! ]