He's trying to decide whether to run off and look for clothes when she comes back and sits next to him. That puts a better spin on it, really. Clearly, she's not horrified to have seen him...pursuing his hobbies, or afraid. He shakes his head and gives a little laugh, still embarrassed, but also reassured. "We must still be in the Cape. Sharing memories? I don't know, it's odd, but the place has pulled weirder things on us."