I've had similar to GP, I explained to him it wouldn't be safe as I couldn't verify he was on his own, etc. He apologized and asked if I could make adjustments to fulfill his fantasy. I said he could knock on the door, pay me, I count the cash without speaking to him then basically turn away and lean over the bed on some pretext. He was fine with that and he turned up and all was fine.
As GP said often they just have no idea from our side of the risks we face.
I get them to do it on an internal door now , or bathroom , they go in and knock then I open door ( sometimes it opens the wrong way if it's ensuite ( if they want a role play) then it's "Oooh wasn't expecting you " or they come out and I'm bent over desk etc !