She isn't buying what he is selling. But Peggy is a practical sort of person and she realises that they had a more pressing matter at hand.

"I'm not going to murder you." Her tone is just as stern as before, but she doesn't look threatening. "But since I don't want to be trapped in here for longer than I should, I think we should do as the voice instructed and cut into our skin - it's probably best to pick the shortest one."

There's a moment of hesitation before she rolls up her sleeve and picks up a knife from the table. Then she looks back at Fitz.

"Once we've done that, you and I are going to go somewhere else and have a talk. Clear things up."

She also isn't willing to let him off the hook so easily.