He understood how crushing and hopeless this situation was, and he didn't feel prepared for helping her with it. He could barely handle Annie coming out of the Capitol relatively okay. He didn't know what he would have done if he had heard that Snow had manipulated her so that she hated him. (Why hadn't he? Finnick couldn't help but wonder. Two reasons, he figured: They hadn't expected Annie to be able to survive what they had done to Peeta, or they hadn't seen him as much of a threat as they had seen Katniss. Both were probably true.)
"He thinks it is because Snow has lied to him again," Finnick said staunchly. "But you and I both know that Peeta -- your Peeta, the Peeta he wants to be for you -- would never believe that." Peeta was a shockingly genuine person to be a Victor. He was quite talented at lying to the Capitol too, but that was maybe why he was so interesting to Finnick: He maintained his sense of self through everything he was doing, whether it was lying to Flickerman or pretending to be in the Career pack. Finnick had never managed that. With every lie he'd told in the Capitol, he'd lost more of himself. If anything, it almost seemed like Peeta had been able to protect himself.
"And that's the Peeta he will fight to be," Finnick said gently, walking back over to her. He put a hand on top of hers not to stop her, but to slow her down. He knew all too well that they were all irrevocably damaged by what had been done to them in the arenas, and being in the Capitol had to be the same way. They never healed completely.
But through his pessimism and grief, he'd forgotten that the whole reason he'd fallen in love with Annie was because she made him a better person. They were better and stronger together. No, they were never complete, Snow had made sure of that, but their love, trust, and support for each other had certainly been healing in its own way. Katniss might have been confused about her feelings for Peeta, but Finnick already knew that she had the tenacity to fight for him. They would bring him back as much as they could -- which probably wasn't quite the comfort that she wanted, or exactly what he wanted to give.
"I think he'll be okay," Finnick said gently, a somewhat sad smile on his face. "For whatever my thoughts count for."