Learn the tone, meaning, and better English alternatives around "let me guess" with real scene examples.

This means someone did not want to give up an exclusive piece of information or news story.
From Faded Threads, Episode 45
The speaker guesses that she did not want to give up the exclusive scoop.
Use it in media or work contexts when talking about someone holding onto a story. The phrase is newsroom-specific and not very general.
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