Yeah, Coyote is kind of a prancing egotist, as well as immensely powerful, so it probably just seems natural to him that he be a leader wherever he goes. Kind of like Susanna Clarke's gentleman-with-the-thistle-down-hair, just as alien and powerful, and just as self absorbed.

Contrast Jones. When Coyote talks about himself, he's weaving stories and spinning tales, accentuating his own grandeur (which is pretty big to begin with). When Jones speaks about herself, it's all simple statement of fact. It's an interesting reflection on their nature - as an etheric being and god, Coyote is myth and stories, embodied, while Jones, as whatever she is, just is.