He thought for a moment before realizing he needed to first try and convince her this was a nightmare - this was obviously something that was from before they met. If this is indeed a memory and not just a normal nightmare or something spawned from fear.

"You're having a nightmare. All of this--" he motioned to everything around them. "--isn't real. I was having one too, and so was Sonic. We got out of ours and found you."