I think some of you are taking the situation way out of bearing. If you watch, Kay was just asking and pestering him. So I think Micheal just got sick of it and decided that if he told her a horrible story that she would be in shock at the moment and would drop the whole situation, as well as never wanting to know about the family buisness again. I get that from the way she acts, and the way he quickly turns away and says " thats my family Kay its not me" then he says somethign along the lines of "come on lets enjoy the music" as she is still in shock. So it kinda tells her a story but also ends her questioning.