Even if Yelena or Kate have sat him in front of a vampire movie, he probably wouldn't make any kind of connection. That's fiction. This is a person. And making assumptions about what they are and what they can do is both rude and stupid.

This is a person with weapons, of course, but that's not uncommon, especially around here. She could be from anywhere. Could have any powers, or no powers-- though she'll probably not be able to use them yet, unless whatever entity she's bound to delights in startling people in the dark. He stays by the lightswitch, which also happens to be by the door. He's not that far away from her, she could reach out and touch him if she wanted to, but as far as he can get without going outside yet.

"Sorry," he says, maybe a little unsteadily. "Sorry. Didn't expect. Anyone to appear in here today."