People have been convicted of murder without the evidence of a body.
In this guy's case, it may simply be that speaking about literally anything and getting any part of it wrong will likely lead to his conviction and incarceration.
boyfriend: "We were drinking and we left about midnight"
"We have you on camera leaving at 2am, what happened in those missing two hours?"
When in fact he was drunk and has a swiss cheese memory.
It could also be that he murdered her and the two married girls in a complete blackout.
Upon coming out of blackout, he drops the girlfriend down a cavern and drives home.
His calculus probably goes about like this: "Nothing I say or do will bring her back, therefore, telling the cops anything is not helpful, _to me_". A normal person would be wracked with guilt. Some non-trivial percentage of the population are sociopaths with literally zero guilt about anything. Your average blue-haired tik-tok harpy is a good example and this demon probably is the same.