It's not a possibility that Zerxus knows how to broach, because he isn't assuming that Bruce will agree with him. Surely Asmodeus would at least offer the illusion that the son he chose was safe with him.

"Does anyone have a grudge? Against you, against Gotham?" Something had certainly felt...personal, about the transcendent violence he can almost remember. "Or...maybe they'd think they were saving it from you."

There's at least a rueful twist to that, because yes, that is basically why he's here. He's just not enough of a self-important idiot to think it's as simple as Kill Devil Save City.

It won't take much.