Maybe. Maybe they were all dead. Maybe this was the afterlife, some weird fictional land where nothing made any sense. Or maybe they were all high, like some sort of experiment.
Or maybe it was like the Matrix and they were hooked up to some horrific machine... dun dun dun.
"I could not say, I have not seen death but I have seen many strange lands caused and disrupted by great magic. My sister used a mirror to travel between parallel worlds..." She looked very sour about this and really had only the smallest of ideas. Celestia had not revealed much of her work with Star-Swirl or the mirror's magic.
Luna then could not help but smile a bit at the man, his stumble, and his misunderstanding. "No," she clarified. "I am a pony. My coat is of midnight blue and my mane wafts in the sky filled with stars. You have my wings...and my cutie mark." Her hand point at her own--currently his--backside.
"I have photographs inside the castle. You may see them when we arrive, as proof. I cannot explain my people to you, I don't know how you are not the same as us. I have only ever known a colorful, beautiful world filled with all sorts of creatures that I have been told, here, do not speak, walk on two hooves as they please, or perform magic."