"Wouldn't anyone be uneasy upon finding themselves in some unknown location?" Not just a new one, though of course that's always possible; he hasn't left King's Landing in years. Even if he had, he would have known where he was going. Everything he's seen about this place so far, such as it is, is unfamiliar to him. There's not even a hint of anything Westerosi in origin, like the free cities would have. It's too warm to be north of the Wall. So where is he?

"If you wish to be helpful, you could start by telling me where I've found myself."