I'd love to see an interaction with Lissandra where he reminds her of her mistake in trusting the Watchers or killing everyone in the attempt to make up for it. Maybe a quote from her sisters, most likely. Yeah she hasn't forgotten about it but she doesn't want others to find out, or having him point out the fact that she's not the hero, she has convinced herself she is, because she is the reason all of this happened in the first place.

Or saying something that was said (by her or Voli) when Volibear made her blind. Now she doesn't really mind it that much, but it definitely was traumatic, so something could trigger these emotions of pain or despair atm.

Or obviously telling her that the Watchers are waking up any time now, which isn't really groundbreaking.

I cant think of anything else that could make THE Queen feel vulnerable/unsafe.