If this is all in Riza's head or if this is someone who knows Riza's habits, it stands to reason that if Peggy takes lead, she can lead them in a direction that they won't be followed. She grabs at Riza's hand and directs them towards the mill, thinking that there's a chance that they can hide out there, but also that it might have someone else to help defend them, if need be.

"I need more details," is her calm demand as they move. "I need you to tell me what it is that we're running from." And maybe then she can establish whether this is real or not real.