Why do you ask is a troubling question, and speaks to Astarion not having enough information to keep himself out of trouble.

Which is unfortunate, given Wrathion is not the best person for this situation.

"All of us in the Merchant's party are not native to this world," he begins, as patiently as he can. "Quite obviously, the natives here are unaware of that. It's best to clarify who you are speaking with."

Just a tip: don't blurt your backstory without checking first.