Trapped in this separate dimension, Lith and Arya were being attacked by the wraith-like entities.
The place was cursed and the bites from these flying monsters were causing a stinging pain that couldn't be healed.
In this new dimension, Arya was able to see these things. Along with Lith, she used every single type of attack she knew to fight them, but none seemed to work.
The wraiths were mildly inconvenienced and weren't pushed back.
It was a helpless situation and escape didn't seem possible as none of the elemental energies were available to be used.
Lith had his unique ability 'Return' with him. He could activate it and escape, but that would mean Arya would be left alone in this place. That was unacceptable for him.
He may be realms below her, but he was her husband. He had vowed to protect her and stick with her through thick and thin.