It's worry for her; if he's reverting to how he looks as a frost-giant (which he is), then it is colder than cold. "Niflheim is one of the oldest realms, along with Muspelheim, the realm of fire. It's primordial cold, mist, ice...and when combined with Muspelheim's fire it forms water from which Midgard is created. A part of it is also where the dead who do not go to Valhalla fall, and where Father imprisoned Hela. We'd know if we were in that part, I think."