The message sent by the Myth of Revered was anything but friendly, and how could Nelson not guess the true malicious threats in those words!
Nelson instantly understood that the Myth of Reverend was threatening him with Ellie and Lucy's lives, and if he didn't comply, the former would go after them.
Furthermore, Nelson had a feeling that Myth of Reverend was extremely confident in capturing Ellie and Lucy, and might not even capture them, because the latter clearly understood that with those two in his hold, Nelson wouldn't dare to escape or simply return, even if he managed to escape.
Lastly, Nelson had more contingency plans just in case he was found, but they were similar to the Axiom Severance Transit. Yet despite that, Myth of Reverend was still able to find him in such a short time, and he didn't seem to be even trying.
That's why Nelson decided not to gamble with Ellie and Lucy's lives, and ended up accepting the Myth of Reverend's so-called goodwill.
