Dream is not good at comfort. Even at the best of times, Dream is not good at comfort.
This isn't the best of times.
This is, perhaps, the worst of times for both Dream, and the young lady whoms shoulder his hand rests on.
So they are there, in a patch of nothing (not dark, not light, not up nor down nor side. Just nothing) with his hand on her shoulder and his attempt at comfort awkwardly in the air.
And eventually he says,
"This is yours, Lilly. This piece of me is yours. Whatever you want, whatever you need, you can craft it to your will."
And the nothing waits for her to decide what it will be right now.