If you want to go deep into it, there is a very nasty implication about insecurity in that scene. When you only book time with Nym at the brothel, you can basically just spend the time talking to her about what's on your character's mind and their boundaries. When you do this with Origin-Gale, you can find out that he is afraid of not being good enough at normal physical sex and worries he might be a disappointment, since most of his experiences in recent years were of the astral sort. So he says "no" when the relationship is concerned because it's important to him, but does not object as strongly in the brothel because his insecurities strike again and the player's wish to book one/both of Drow confirms his belief of not being enough.
