Follow her and help her.

You follow the blonde girl, as she tries to push her way through the audience. Quite a few try immediatly to get hold of the dangling chain, followed by small, little shrieks from Jenna's part. Once you reach her, you put your arm around her shoulder and exclaim: "Ah, Jenna, here you are! I was looking for you!"

She looks at you confused, and instinctively wants to protest against your touch, but you raise your index finger to your lips and try to look as reassuringly and soothingly as you can manage. She finally complies. You lead her away, and the crowd soon forgets about her, directing all their attention to the next attraction.

You stop behind a huge Chinese vase, covering you from the sights of most of the spacious room.

"Who... Why...?", starts Jenna, but you just shrug.
"Because I didn't want to see you humiliated like that. Don't like it."
She nods, slowly.
"Here, let me...", you tell her and reach, hand open, for the chain and open the first nipple clamp. A suppressed hiss tells you that opening the thing apparently hurts as much as closing it, but Jenna has to go through that now. You free both her nipples and take the chain into your hands.
Jenna looks around nervously, but nobody seems to care.
"Honestly, I think most of these games rely on how much the victims actually secretly enjoy them", you say. "Or how gullible they are to follow the rules, when in fact nobody really cares."
"Thank you", Jenna whispers.
You give her a warm smile. "See you around! And don't get yourself into trouble like that again."
She smiles shyly. "I try."

You part ways.