Really like that scene, and Anya is my favourite, but I always thought her character lacked continuity
as it turns out she used to be human, and as a vengeance demon she lived amongst humans, blended in and gained their trust, yet now she is human again she doesn’t understand human ways, constantly making faux pas, doesn’t understand Joyce’s death even though she has killed many herself.
There is quite a satisfying explanation in the podcast’s Facebook group for the first part at least, Anya might be autistic, she managed to learn the specific scripts required to carry out her role as a vengeance that allowed her to blend in, but she cannot maintain this full time as it is exhausting and lacks the scripts for the wider range of social situations she finds herself in. So instead questions things that she doesn’t understand and gets frustrated at things she finds stupid. doesn’t explain her not really understanding death, but I guess that could be more to do with her not having been close to people who died before