"Is that what you want?" he asks. Not the name - that's not what he means. He means whether Kelsier wants to kill him. If so, it would be disappointing. Zane had thought that Kelsier would understand, unlike Vin, what it means to be a Mistborn. To decide not to play their games. Vin has become a pet of Elend's, and Kelsier never belonged to anyone.
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"Is that what you want?" he asks. Not the name - that's not what he means. He means whether Kelsier wants to kill him. If so, it would be disappointing. Zane had thought that Kelsier would understand, unlike Vin, what it means to be a Mistborn. To decide not to play their games. Vin has become a pet of Elend's, and Kelsier never belonged to anyone.