What's wrong he says like he hadn't recently--or not so recently, from the passage of time--been kidnapped. Lucifer never did find out where'd he'd been snagged from, he just knows it was outside the castle proper. Ambrose was very clear about that distinction.

"What's wrong," he echoes, sounding a little winded, and that's--that's not even an anxiety dumped on him from Wilhelm, lovely, perfect. It's all his own. "We haven't been allowed to this place before. Any of us." He'd like to think his point is clear enough before he adds, "Why're you out by yourself?"