Don't underestimate how much Arthur will readily throw himself into the unknown to escape an immediate danger; he takes an instant step back when he hears the footstep crunch closer.

"I, I was- I was in Harper's Hill-- that's- Massachusetts, er, America-" always worth clarifying, with the English accent. "I was- there was this city, underground, there was a cult that- that strapped me to a table, I don't--" He grimaces, eyes flicking down with the expression despite himself. "I don't remember much of what happened after that."

Which is only half-true, but it's true enough in that it's not relevant to how they ended up here, surely. Unless, the King had...

"Y-you, uh, you don't- have you ever heard of the, th-the King in Yellow?" he offers, warily, hands lifting in a gesture that's somewhere between submission and defensively raised.