She doesn't correct him, that thank you, she had the knife before he got here, because she doesn't really want to explain her power. She thinks the reason WHY she pulled a knife was obvious.

And given his nudity, the time of day, and his disorientation, she'd say he was asleep. It's either that, or having sex with someone, but again, given his nudity, she'd probably be able to tell. And he's not drunk. And he was frightened before she pulled the knife.

"Were you having a nightmare about your parents?" she asks astutely. It might be about something else, of course, but this is also a way to bring up the whole dream thing. He hasn't told her in waking moments, after all.