It takes a while - and some alcohol, and some seemingly careless display of exactly how uninvolved Kaz is with the 'right side' of the law - and a brightly lit room with few shadows -
The woman's a horse thief. A good horse thief, one of the best if she says so herself, and she's from West Ravka - and she'd heard that the horses bred and trained by the Darkling fetch an emperor's ransom -
The story comes out of her in fits and jolts.
She obviously didn't steal a trained war horse. But one young enough to be ridden technically, even if not yet broken to the saddle all the way - one not yet trained - they're hard to steal, damn hard, but doable for someone like her, though she only escaped with the one horse.
And it's not exactly well known, but if you're in the business of smuggling horses - it's humans what set off the volcra. Human voices, human footsteps. Can't tell a human just by their breath she guesses, but if you keep quiet and your feet never touch the ground, if you never take a step yourself - the volcra ignore you.
Normal animals are too damn terrified of the fold, and some smugglers manage to break horses or donkeys or what-have-you to it, but that's risky, you'll end up with a terrified animal not useful for much else which might bolt out from under you at any moment. Smugglers like that don't have much better chances than an army sandskiff, but better than most people trying to cross solo, so some think it's worth it.
The horse she stole acted like it might as well have been out for a mid-afternoon stroll when she rode it into the fold. It didn't much like her, but it didn't successfully throw her so -
Anyways, she sold the damn thing and ran, and she didn't get a fraction what it's worth but she swears there's been something nipping at her heels, chasing her in the shadows ever since. She needed to escape, fast.