Margaret was stuck in the empty void that was the state of things enveloped by Kaguya. Unable free herself or even grasp her Zanpakuto, Margaret firmly believed she was finally completely dead when all of a sudden a young girl came up to her and hugged her, crying in joy about how she was "really here". 

Had it been another, less serious time Margaret would definitely have questioned, been embarrassed by and reacted to the fact that both of them were stark naked, but considering she was under the impression she was dead there was no thought in her mind. "Where... am I?" she asked "What did you do?"