When Sandor first took you in, you didn't exactly have a choice. Your family had been killed and even though were high-born, you were now a target. You needed to get away from King's Landing.
Sandor took you to find distant family for money. You had an aunt in the Eyrie, so you travelled North together.
It was going to take weeks getting there, and during that period, the two of you warmed up to each other. He gave you snippets of his past and what he wants to do after he delivers you to your aunt. You gave him small details, as well.
Perhaps it was because he was your only real friend, or perhaps it was just because you were afraid, but when you finally reached the Bloody Gates, as you walked forward, you couldn't help but look back at him.
The weeks spent together held some of the fondest moments of your life. Moments you will cherish. You didn't want to let that go, yet...
Sandor didn't have that familiar stoic look; he looked nervous, almost. He looked conflicted.