By the time Finnick reached her, Katniss wasn't screaming anymore. She had managed to kick the blankets off of her, and was sitting with her legs splayed out on the bed, propping herself up with her hands behind her. She just stared at him, barely seeing him, her mouth open and her face covered in tears. Her lungs couldn't draw in enough air.
She pushed herself out of the bed and ran to the window, opening it. Fresh air rushed in, cold enough to wake her up entirely, and she drew it in with ragged breaths. It was only then that she found the wherewithal to be embarrassed, as stupid as that was. Which wasn't because she hadn't wanted Finnick to know she had nightmares, or was concerned about him seeing her cry, but because what she really wanted was Peeta to put his arms around her and keep the nightmares away. The idea of being comforted by someone else felt thoroughly uncomfortable.
Besides, she and Finnick were allies here in much the same way that they had been in the arena. They were looking out for each other's safety, trying to keep each other going. This was different, and it felt different from going to him when she'd had sleepless nights in District 13, too. Maybe it was because he'd made that comment about her being a child, which had stung more than she'd let on.
So she tried to pull herself together, letting her head hang down as she rested her hands on the windowsill, trying to slow her breathing. If she'd thought she could have managed to lie believably and say that she was fine, she would have, but she knew that her voice would shake and crack and give her away, if she could find her voice at all. So for the moment, she didn't try.