Gehenna doesn't seem reassured by Zeona's advice, if she even hears it. She seems distracted, and Zeona has little opportunity to make herself heard to the tiefling without revealing herself to the crowd, let alone the nearby guards. She scarcely even has time to look at Gehenna before her head is forced back and her face forward.
The crowd's shouting changes abruptly as Zeona "reveals" herself. Most of the crowd glances nervously at those that had been shouting the loudest, and they, in turn look up at the crier on the stage. By now, Zeona has gleaned what's going on: the most bloodthirsty crowd members are almost certainly Naxara's agents, who have been instructed to set an example for the rest of the populace. This ensures the rest of the crowd knows the appropriate about of loyalty (i.e., absolute) to show to Naxara's cruel justice. It also means, however, that most of the crowd (and probably even the provocateurs) are only
performatively calling for her death - they probably won't interfere in any escape attempts.
The crier, on the other hand, is probably genuine in his spittle-flinging intensity, but he doesn't know for sure how to react. He looks Zeona-as-Azara up and down, brow furrowed in malicious confusion, and then looks at Nazara.
Nazara blinks, but only a moment before her face twists in rage.
"How dare you," she growls, her voice icily calm, then reaches for a wand.
"Guards!"