My sword and my legs are both well-trained, and I've been beyond the wall before. I'll fare fine on my own.

[There's a bit of a tone in her voice. Not quite defiance, more along the lines of just being obstinate. Just refusing to acknowledge the potential danger to herself.]

Such beasts exist where I come from as well. You needn't worry about me.

[Also if she gets killed she'll just respawn somewhere else. Being undead has its advantages - even if they're terrible, painful advantages that everyone hates.]