Nebula just wanted to know they were safe, that their father wasn't sitting there waiting to tell them everything they'd done wrong during this next lesson, if that's even what it was. But she didn't think there was a way they could do that, at least not unless they left the sort of safety of their little shelter so they would have to eventually.
When Gamora leaned against her Nebula wanted nothing more than to keep hiding right there in that space and no where else, where they were safe and together. And then she said it, so quietly that no one would over hear them and Nebula wanted that to be true so badly, to be free of their father and they could just be lost forever. Even when she knew it was impossible.
"I want to be lost like that," She agreed in that same quiet voice, "With you." She didn't want anyone else, just her sister - the only person in the entire universe she could find the ability to be strong for, Gamora was the only reason she could be strong, that she could fight and try and stay strong in the face of their father. And maybe if they were lost here together like this they could figure out a new way to be together, where they didn't have to fight.