Kyoko's complaint about the cold is what snaps Jiu out of his momentary surprise - it's true, while his cultivation keeps him relatively insulated, Kyoko doesn't have any such ability. And when she offers him her hand, well...honestly that kinda warms him more than her coat would.

Not that he shows it. No, he just relaxes slightly, nods, and takes hold of the offered hand.

"The sooner we leave this place, the better."