Troy's question was mental. He wasn't embarrassed, but some things were a little too private to speak aloud. You're certain you're alright?
He wasn't afraid of the Phoenix. In his dreams, terrible things could be outwitted or talked down. He didn't have the same frame of reference for the Phoenix and didn't realize how wary he ought to have been. If Jean said she was alright and Emma believed her, than Troy would accept what he was told.