He resisted reaching a hand out to steady her but Lancelot's features softened even more. He had been about to offer to take her to some place quieter when it seemed as if she had more to say - so he waited. The expression on his face was one that took on a strong form of understanding. He luckily knew what purgatory was and while he didn't know, and didn't need to know, what had this woman feeling that she deserved the Middle Place after death. He could sympathize with the confusion of expecting the after life and finding oneself in a place - that appeared to be - of mad fantasy.
"No." He said simply, kindly. Two letters managed to convey a soothing quality as his voice deepened slightly. There was no hint of mocking or misunderstanding in his eyes. Nor was there any hint that he was placating her. "This is a place unlike anything I have ever heard of but I can assure you that this is not purgatory." Lancelot added. "And that you are very much amongst the living. Will you come with me? I would like to find some place quieter for us to sit." For her to take some semblance of privacy to settle, if she wished. "I can explain what has happened and where you are as we walk there."
And because her fear had seemed very real to him - and because Lancelot was ten times of a noble kind of fool - he turned his body in a manner to block any on lookers and pulled out his dagger. He held it expertly in his hand that mostly shielded the small - but capable of causing damage if struck true - weapon. Lancelot held it out to her, hilt first.
He tilted his head encouragingly. It was a sign of peace, that he meant her no harm. She had no reason to believe that he didn't have other weapons but at least she would have something. And if she chose to stab him? Well, he was certain he could avoid anything damaging. Maybe. Possibly. That wasn't the point.