Lady had always been emotive, her expressions very in tune with Sansa's moods, in truth all the Direwolves had bonded closely with their Stark. "You didn't interrupt anything important," Sansa had just needed a little time, some air, the chance to shake off what Arya had said to her. Memories from home were never far away, and her ability to be in a room with some of these people was tested greatly at times. She was mostly thankful for Diana's quiet grace and strength, Margaery's support, even Arya's fierceness.
It also helped that the males in each of their lives were gentlemen. "I just came out for some air, and to get the wolves out for some exercise."