"You know you're not making this sound any less crazy, right?" Fiona asks, though she follows along after Lip even so. That they're apparently not in Chicago anymore would have been easy enough to guess, but that still doesn't explain where the hell they are or how she got here, when she was only heading back into the house. It also makes her still very much in violation of her parole. If Lip says it's not going to matter, then she believes him. She just can't figure out how any of this can be happening. "And how do you know all about this anyway?"