In fact, Zhao Yu was sure that Cheng Lingfei would tell the truth.
Cheng Lingfei had no idea that Zhao Yu had things with him that he could use to save his life. She naturally thought that she was in an invincible position. Since she could end Zhao Yu and Miao Ying's lives at any time, she wouldn't mind telling them the truth before she killed them.
Another thing was that Zhao Yu had realized was that Cheng Lingfei was a perfectionist when it came to Jiang Ke's robbery, prison break, and the subsequent fire. Even if she was doing something illegal, she would make sure that it was perfectly arranged. She was a paranoid person who was so eager to show off her cleverness. This was how she fell into Zhao Yu's trap.
This was exactly what Zhao Yu wanted. Criminals were often more willing to talk about their crimes when they felt superior than when they were arrested. She thought that Zhao Yu and Miao Ying were desperate, so she told them everything.