Daemon was many things but blaming himself for anything that happened, ever, was not one of them, not until this happened.
You both had gotten into a big fight, and he had told you to go away and find somewhere else to stay for the night, expecting you to find one of your Ladies (as you usually did) or your own personal chambers (which you never were in) but you never returned to either. Daemon had asked to be updated by the guards, but no one had seen her.
After a day, Daemon started looking for you. Everywhere. Then the guards found out and your father was beyond pissed, Daemon had started blaming himself after he found out that one of her guards had been paid to let her out into the city with the promise she would return and she hadn't come and got him. They always went together for this reason, she was scared to go out alone.
Daemon spent several days before finally finding you, locked up in a cell deep in Fleabottom. Someone had taken her when she came to get drinks where they always got drinks together in the dead of night. Nothing beyond usuals ever happened her until now.
He took you back to the Red Keep without a second moment of hesitation, you were knock out and not responding as he took you to the maesters.
When you woke up, you just stared blankly at the wall and didn't seem to hear what anyone was saying to you. You sat silently and your body was covered in scars as you rocked back and forth curled up. Daemon kept trying to get you to talk and you just wouldn't... so lost in your torture or whatever happened.
"Oh, my love..." He whispered with slight vulnerability in his voice as he just stared at you, blaming himself.