Shadows. Hallucinations? Not something in the Arena, anyway, if they've been there for months. But if that's it, unfortunately it means that Luna can't help Jeremy as she'd like to. Even with her proper body and connection to a full database rather than just her head Luna's meant for treating general physical ailments than psychological ones. She doesn't know what she can offer to help deal with those.

The more she sees Jeremy withdraw, though, the more she feels she needs to do something. Like this, the first hostile creature to come along will... The same applies for her, really, but chances are Jeremy's actually human. She's obligated to do what she can. "Is there anything that helps? Even for just a little while. I know it must be hard, but can you think of anything?"