If Zexion was nervous, he didn't show it.
He'd read up on much of what comprised the list of Dangerous Clans of Spira and although Khamja invariably came out on top if not for the acts they committed in the name of their Clan, but for the numbers in comparison to similar groups, he wasn't as scared as he should be.
(
There did, after all, have to be a reason for his capture. )