To Asgard
Frey described the Bifrost as something like a rainbow light road, but it is actually more like a portal beam. Adrian could feel that the Bifrost is merely a pathway that pulls the bodies of those that activate it to the specified location. It is like a predetermined tunnel that cannot be deviated from its path.
Frey and Adrian could be seen holding hands as they do not want to be separated. Frey was warned by the Valkyries that there was a slight chance that one could get sent to another world if they get swept by the Bifrost. The only way to make sure that all of them will be sent to the same location would be to huddle together or hold each other tightly.
One could see that the two are somewhat blushing, but they needed to hold each other tightly. They did not speak while they were being transported but they did see the view of the world that they are going to. Frey has already been to Asgard but the only gods he met before were the God Thor and the God Freyr.