Time travelling, Nico could sort of process. After all, he was also technically a time traveller. Different planets was a line he could also see, a thing that he might be able to process with the right scientific or godly reasoning. It made sense, in a way, that gods might not limit themselves to just Earth. (Especially since many of the planets were named after their Roman incarnations.) Atmospheric decompression probably didn't apply to Zeus/Jupiter, huh. But universes? He frowned in confusion.
"I thought maybe..." ...that he'd shadow-travelled in his sleep. But he'd never done that before, so why would he have done it now? He dismissed the idea.