he likely isn't trying to threaten her, but force her to show her hand.
she is a demon, and from the little information we have about them, they aren't particularly viewed in a positive light. so by whatever he's trying to do (menace, assault, magic weapon, hidden mark of the demon) he likely will try either to force her to drop her disguise, or do something only a demon is known to be able to (like say, impervious to physical damage). this doing, whatever happens to him next, he will have already won as she then would lose everything, her standing, associates, support...