This woman, left Nyx skeptical. The way she looked at him. The way she postured. There was just simple things that stood out that left him skeptical. Afraid? No. Just... skeptical. Though Nyx wouldn't let these things particularly steer his judgement of the woman. You mustn't judge on appearance or first encounters.
As the woman before him discussed the locations in which they were not near, two did not stand out to the Glaive. "What is this Asgard and..E-arth?" Nyx attempted to recreate the word that the woman said. Strange lands to hail from. "Where is here, and what ruler rules over this land?"
Looking about some trying to get his grasp then his attention was caught with inquiring about injuries. Stunned he looked at himself. Sure. He'd look like he was coming from battle, which he was? Right? Was he dead? Was this place where the souls went to upon death?
"I think I'm dead." Which some might say, Nyx was taking quite well actually.