"No" he doesn't expand or explain. He doesn't know whether or not there is a Coach Grady but the anthropology building is between the entrance and the physical education building so is plausible. But he is still skeptical about her story.

He notices her looking at the books, "I research anthropomorphic religions. Ancient civilizations anthropomorphize animals, or give them human form or human attributes, such as intelligence." going into lecture mode. His demeanor is a bit softer as he talks, though he keeps watching her still wary.