Sansa is at the door and Sandor is still looming large in it. She doesn't know what possesses her other than the fact that Jon isn't here and she should be protective of her person as queen but she steps to the side a bit and gestures back into the room. It isn't nearly large enough to hide anyone unless they are very small but still -

"Do you want to check the room for me?"

She poses it as a question as if it would be an optional thing to check for intruders or someone laying in wait for her specifically. In Westeros, it wouldn't be optional. She is simply too important to go into rooms alone without guards these days. Here, however, she is no one and nothing important except to her brother and the man in front of her.