Wiping away tears at the University of Pennsylvania's Irvine Auditorium on Wednesday, Jenner told audience members that keeping her father out of the loop will "always haunt me," according to the Philadelphia Inquirer.
While Jenner's mother Esther has publicly supported the 66-year-old Caitlyn and been the star's self-described "best ally" through her transition, WWII veteran William died years earlier in 2000.
"I think eventually he would have come around. He would have never understood, he didn't know anything – gay, trans, all that other stuff," Jenner told the audience. "But I'm sure he's looking down from heaven right now and saying, 'Well, you're doing a good job.' "
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The I Am Cait star's Q&A session was moderated by Buzz Bissinger, the author of her coming out Vanity Fair cover story, and touched on a range of topics including Jenner's own thoughts of suicide surrounding her identity.
Before publicly sharing her plans to transition, Jenner said she heard TMZ was going to blast a story about her trachea surgery.
"[I thought,] 'Just take yourself out,' " Jenner shared, according to the Inquirer. "But then I thought: What a horrible way to end my story."
Season 2 of I Am Cait, Jenner's docu-series about her transition, premieres March 6 on E!