Peggy knew she was being followed nearly from the moment that he had started to do so. Not only was he not being all that obvious about but she could sense him and hear his footsteps behind her. So, in what might have been a risky move is she wasn't aware of him or been able to defense herself so well, rounded the corner into an empty alleyway and waited for him to corner her.
She didn't take well to being followed, wasn't sure if anyone would be for that matter.
Keeping an eye on the entrance, she stood ready to attack him or defend herself if need be. Either way she wanted to know what exactly he was doing following her and give him a piece of her mind. It wasn't acceptable behaviour no matter who, where or when they were.