Surrender is technically an option when fighting someone with deadly weapons, but it does kind of leave you open to treachery from the opponent. So it might not be a great idea when dealing with a villain with no scruples.
Commentary by memnarch (who has not seen the movie)
I don't think Kylo wants to be a Jedi though, does he? I'm not really sure what Snoke and Kylo count as, if they're Sith or just something else. I do remember that Snoke ordered Kylo to just kill Rey rather than trying to turn her to the Dark Side. And I think I also remember Snoke saying Luke needed to die as well to make sure the Jedi disappeared or something as well.
Rey does make a good point of not surrendering here. There's really nothing that would keep Kylo from killing Rey after getting the map here. I don't think the "worst nightmare" part tracks however. Besides nightmares being dreams themselves, Kylo would probably find a team-up of resurrected/cloned Anakin and Han scarier, even if they'd probably look like Muppets as a result.
Transcript
Rey: Attack!
[SFX]: whooom! whooom!
Rey: I may not be a Jedi yet, but you’ll never be one.
[SFX]: Whooom! Whooom!
[SFX]: whooom! whooom!
Kylo Ren: You can’t win, Rey. Surrender, and I’ll trade you back to your mother for the map.
[SFX]: Whooom!
[SFX]: Kzrkzkzkr!
Rey: So you can find my Uncle Luke? I don’t think so.
[SFX]: sliiice! {Kylo slices a tree}
Rey: You want me dead anyway. Anakin beat you up as a boy, and Han Solo killed your father. I’m descended from both of them.
[SFX]: Whooom! Whooom!
Rey: In other words, I’m your worst nightmare!
Kylo Ren: You’re not exactly making me want to fight less effectively, here.