Zelgadis does feel the world trying to pull him back. Images of people he's met -- some Tidus would recognize as the young woman and the city, and others (a redhead in a cloak, walking on a road with a tall blond man in armor and a sword, a blond woman in a pink dress pouring tea, a dark-haired woman kneeling at a shrine) not so much.

Zelgadis is pointedly ignoring them. Yes, he wants to go home now. No, he can't do so until he's sure he's going to end up in his body and has no ties to the train. He's keeping a grip on Tidus's hand.