Sansa is not used to such rough language from a woman. She isn't used to it at all, really, because while Lord Tyrion had used some very interesting words around her, he tried to keep that at a minimum. Ramsay hadn't needed to use words at all to describe what he was going to do. While she's hardly an innocent, some things shock her, and this does.

"Are you quite all right? Is there something I could do to help?" she asks as she approaches, Lady padding dutifully behind her.

"You seem to be in some distress, my lady."