I would have told him squat. You are not obligated to answer random questions from strangers.
Including "are you a cop???" while someone is staring at your sidearm frightened.
So I think I would have kept on walking right out the door. I don't feel like talking to rude idiots in hawaian shirts. (But that's just me)
FWIW, a good answer to stupid questions is "why do you ask?" Buys you time and throws them off because now they have to reassess and figure out a concise answer to justify their stupid question in the first place. Works well most of the time.
As far as the deputy's behavior, I too would have loved to chat with his supervisor. His actions were not only rude and uncool but also illegal.
I was taught to respond with “ good question “.