The point is rather simple: His girlfriend had put a (breathable) bag over his head, tied his hands behind his back and then dragged him off to parts unknown. Now, he was quite certain that there were many people out there who would pay for such treatment, but a proud man like him was not among them.

[...]

Cheeky swine! Never mind that for now. Of course, his blindness was all for show. Lelouch could see perfectly fine thanks to his Stand. Yes, Painted Black had already given him enough information about his journey to accurately guess at where he was being held. He could also see the position of everyone in the room: Zero was standing off behind him looking larger than life. Ohgi was scowling at him as though he wanted to punch the very one that made this all possible. Diethard was hanging back, observing carefully. No doubt to ensure he had the correct narrative of events constructed in his mind. And, ah yes, Lady Kaguya staring at him with a strangely silent smile.

More to the point though, the room was extremely brightly lit, with seemingly every surface lit up to the point he couldn't hope to exploit the shadows. Clever girl. No reason for the enemy to find his behaviour suspicious. Nothing held back, or the illusion would be ruined.

-Lulu's Bizarre Rebellion Chapter 51