Nyx just couldn't wrap his head around how she did it. She just knew things to say, and wounds to probe to get a person. That's why she was the Oracle compared to him, a Glaive.
While Luna looked away, Nyx read the thought. "They're not here." He confirmed. Part of his constant exploring the place was his securing the area. It was hard for him to believe that the Empire had not touch here. They had fingers everywhere and in everything. Nifleheim was just a threat you lived with. "I have searched hard, and I haven't found anything to show a sign they're here." Nyx, looked down almost ashamed. "And if they were, I wouldn't fail protecting you a second time."
It was something that Nyx fought with internally. If he had be better, he'd of been able to see Lunafreya from the city, see her to Noctis, and then would have been able to helped end that silly war. But he had to go and be a hero and get himself killed. Though when she asked her question. The Glaive had purpose, in a manner that the king refused him. He was a soldier with a task, and one that he would happily take. Hell, he'd repeat his sacrifice all over again.
"Princess, I would be honored to see you safely to Noc-" Nyx flinched slightly. "His Highness." Nyx glanced about to get lay of the land, and then gestured in a direction. "The light rail is this way. I unfortunately do not have a fancy car to escort you in."
Nyx whistled softly to Umbra, to signify to the dog. "You too. I need your help to protect the princess."