I think - in the first place - that's up you!
When I started the picture, she was alone there. Somehow I developed a "beauty and the beast" feeling whilst drawing and therefore I needed a beast. ;-) I remembered that sometime in the comics they were actual lovers (but the 'good' Sombra). I thought about this could be some thing like an echo...
So these can be lovers, but there's also a possibilty, that he hold's her captive.. or she has a nightmare or something like that.
As we are talking about Celestia, here's a brand new one. ..