Zangetsu can be a very deceptive person, but in this case, he's being perfectly honest. Lying wasn't going to get his ass back to the carnival any sooner, not with everyone as confused as they are. Including him!

He shakes his head. "Haven't the fuzziest. Ya see, I work for an interdimensional fae carnival. I know it sounds crazy, but... you know. Fae. We were set to arrive at our next location that day. But instead of pulling up to this world like we apparently normally would, this shit happened," another head shake, "I AM a new recruit but uh, this is not how I read the contract, you know?"