"On a a train in another dimension at least means they know they don't need to keep searching every badguy lair and start checking all the people who are supposed to be good guys." The fact that she's considering this probably isn't a good sign about her world. But that's what they'd started doing. "It's weird, but at least it's an answer."

"I'm also good at getting through walls if there's a cave in or something." Once again from experience.