Since Lucy was a mortal and not a cultivator, it is natural for her to have a weak mental defense so the mercenary has to reduce her pressure to the level Lucy can handle. So, it was very easy for her to kill Lucy.
But she didn't do it. There is no way she will do that since Lucy was her lifeline to completing the mission, and she has to complete the mission no matter what, or the reputation of their group would take a hit. If this happens then. They would not be able to get more missions for months. Especially now the strength of their group has already been reduced with the death of the three mercenaries.
She wanted to complete this mission with her life intact and Lucy is her only hope against Leo. She didn't want to die, And there is no way she would watch death come to her without doing anything about it. With Lucy, she could just blackmail Leo, complete her mission and then run away from Leo.
