For one, according to the intriguing and elusive star, her father did not sell weapons
Anna Shay
Credit: Courtesy of Netflix

You can't compete with what Anna Shay was born into.

The Bling Empire breakout star doesn't need to flash her wealth — her extravagant empire speaks for itself. While Shay has become the most lovable star on the show in many ways, she's also the most elusive.

In the first episode of the Netflix reality series, which follows the lavish lives of a rich group of Asian and Asian-American friends in Los Angeles, Shay is introduced in her Beverly Hills estate, dressed in a ballgown while thrusting a sledgehammer into one of the walls of her walk-in closet. Cast member Kane Lim narrates the peculiar scene.

"Anna Shay is half-Japanese and half-Russian and super, super wealthy," Lim begins during his confessional. "Her money comes from weapons," he continues, as Shay takes another wack at her wall with the sledgehammer.

"Her father sells bombs, guns, defense technology, and it's worth like, a few billion," he adds. But according to Shay, this is not true.

"I asked him, 'Why did you say my dad was in arms?'" Shay tells PEOPLE about confronting Lim. "He goes, 'I don't know.' He thought he knew, but maybe he didn't know and was just guessing."

Keep reading for what else Shay says the show got wrong, where she stands with frenemy Christine Chiu and who she would want to see on the show if it gets picked up for a season 2.

PEOPLE: How are you feeling about the success of the show? Did you expect it to get so popular so quickly?

ANNA SHAY: I'm very happy for everybody. Did I expect the show to be successful? No. I wasn't even expecting to be in front of the camera. I'm very shy and I went along with whatever situation was happening. I was just being me. I think the success of the show has a lot to do with how Netflix, Jeff Jenkins and his production company handled things. It's really thanks to them.

Since filming, who from the cast have you grown closer to?

Florent, who has been my friend. I've grown closer to him and Maria as well. I would also say Kane, Chèrie, and Chèrie's daughter, J'adore. I didn't know them before the show.

Did you find it easy to develop these new friendships, even though it was being filmed for the show?

Yeah. I'm a private person and I'm also very shy. If Kane, for example, were to talk to me about whatever subject, I would just answer and forget that it's being filmed.

Would you say that your relationship with Christine was accurately portrayed on the show?

I don't think so.

Would you say you're closer to her now?

I don't think so. I have nothing against Christine. I knew Christine nine, ten years ago while going to Fashion Week. I knew a different side of Christine then. During the show, however she wanted to portray things — I just went with whatever she said. I would just try to answer and make some sense of certain things that happened, but it's okay. At the end of the day, everything's okay.

For every jab Christine threw at you on the show, you always had the most clever and funny ways to get back at her. One scene that sticks out was when she realized she had received a later time on her invitation to your party at your home. How did you come up with that idea?

I didn't. I decided to have a party, and if anything, [the wrong time was] probably meant for me because I'm always late. I always say, when friends call me for dinner, 'Don't tell me the real time!' So if anything, that was meant for me. Honestly! I don't know how she got the wrong time. I didn't send the invitations, so I don't know.

The show has received so much positive feedback from viewers, especially within the Asian-American community. How does it feel to be part of a show that's a first-of-its-kind in the reality TV space?

I feel very honored that Jeff, the producer, thought about me and that Netflix accepted me. I give so much thanks to the crew. It's nothing I did.

Are fans reaching out to you? Have any opened up to you about seeing an all-Asian American cast and what that means to them?

Oh yes, even in the street. They would say, 'I'm such a fan!' and I couldn't figure out — a fan of what? So I would say, 'Excuse me?' When I figured it out, it was so confusing. I was perplexed, but I'm learning!

How has your family responded to the show? Have you watched it with them?

Yes. They think it's funny, because they know how I am. My son pointed out that he didn't know what my father — his grandfather — did, because he's not in arms. That was not said by me.

Right, Kane was the one to say that.

Right, so I Wikipedia-ed my dad again, because I know what he did, but I just wanted to make sure. He was a contractor. He had a private company. My dad told me he was a businessman and he met my mom in Japan. He was an engineer and had contracts with the government.

Do you know why Kane would say that if it wasn't true? Maybe he had heard it through the grapevine?

I don't know.

Christine Chiu, Anna Shay, Cherie and Kelly Mi Li in episode 7 “Kevin and Kane Take Charleston” of Bling Empire: Season 1
Credit: Courtesy of Netflix

What has your overall experience been like, going through this reality show process and seeing how well it's doing on a global scale?

I had an amazing experience. I thank the crew and everybody for their patience, because I never thought I would ever be in front of a camera. If there is going to be a second season, I would still end up being me because I don't know what else to do. Besides, it's reality. You have to keep it real.

Would you introduce more of your family, like your son, if there is a season 2?

I don't think it's for me to decide, but yes, I would like that.

Bling Empire is streaming on Netflix.