Her mistrust is wise but misplaced. Not only Grayson but Pel himself are both Cerberus plants who are under orders to kill Menneau. While en route to Shanxi for a rally, Grayson kills Keo with a kitchen knife he hid in the fridge. After Keo is dead, on Pel's mocking order, Grayson claims Keo's pistol as a trophy and keeps it for many years.
Keo's murder is the first kill that Grayson performs for Cerberus; it continues to haunt him and in the years to come, Grayson will frequently dream of Keo's death. Pel callously jokes that he often dreams about Keo too, but he is wondering what she'd be like in bed.