Diaforetikos said:
You just have to find the balance that works for you.
I agree you should find the right balance.
There are some factors missing here, like what your age is and how long you've been seeing this girl.
Ultimately, it depends on what you (and she) want from this relationship. Since you talk about "deep feelings" I'm assuming you guys are wanting an LTR. If so, I think that you are never going to be able to take things to the next level ro find out if she's the real deal without spending more time with her.
If she gets bored with you and loses interest, then she wasn't the right one for you, charge it to the game. You're lucky you found out sooner rather than later.
Being mysterious is okay, but if you're wanting to get serious with each other, sooner or later you're going to have to let her get to know you. Besides, it sounds like she's already attracted to you.
The better the relationship, the fewer the games you play with each other. That's what I think anyway.