Talk to her

You kneel down at the side of the bed and the fear and panic in the queen's expression dissipate, instantly replaced by severe confusion.

"Your majesty," you start, "I understand you likely have many questions-"

"Who the hell are you? What am I doing here, in _these _clothes and why am I tied down to this godforsaken bed?"

You are surprised by the anger and self-righteousness of her voice, though you silently admit that you could easily understand it.

"My name is John, I am a simple farmer here in the Stormlands. I found you lying in the wreckage of your overnight carriage and brought you here to save your life."

Her expression changes once more, this time from angered confusion to an almost embarrassed humility, as her face flushes a deep shade of crimson red.

"Well then, John, I must thank you for saving my life, but I still must insist on knowing why you tied me up."

"I did not want you to go out in the cold in a panic," - a little white lie, but in the long run, it would serve you better.

Margaery looks a bit hurt that you assumed she would do something as stupid as run out into the frigid cold, but she quickly recovers.

"Well, I suppose you'll untie me and accompany me to the nearest posting of the royal guard?"

"Yes," you say, "but there was one thing I wish to discuss first..."