Lily's sudden absence from his side was a little jarring and he blinked up at her in surprise. He'd only been kidding, he knew the dangers, or, well, was at least aware that there probably were dangers. Besides, it wasn't like with muggles, who probably would cart them off to some underground, sterile environment to... probe things. Wizards were used to things muggles called abominations - hell, he'd met a muggle or two who seemed to think the mere possibility of someone doing magic put them in league with children-eating-demon-worshipers.
"Oh come on," he soothed, sitting up. Trying to spin a joke on it he added, "I'd find a way out, and rescue you from your cell... and then we'd grab Luke and Chewy and make a grand get-away."
He paused, noticing she wasn't playing. His smile faded a bit. When she mentioned nightmares his expression darkened with concern. And her attempt at playing it off did nothing to improve this. James slept like, well like dead, and he hated the idea that he'd missed that she was being upset by something. His hand settled on her leg.
"Lily, what's going on?" he asked gently.
He didn't understand why she was throwing herself into work so hard, but this sort of stress seemed to be exactly the reason why it was such a bad idea. Or at least, he hoped that was the problem. However, that didn't really address the whole 'why' aspect.