If Coraline had been an Autumn Courtier, that fear coming off of Jon would have been a fantastic source of Glamour for her. It's still good, as is, but more importantly it serves to alert her that Jon is pants-shittingly freaking out.

So when she comes up by his side, darting to stand between him and the guards without heed to put a hand on his arm, it's only a tiny bit to harvest that Glamour (Jon won't even feel anything). Mostly she's legitimately concerned, and she's letting that vulnerability show on her face when she gives his arm a soft squeeze.