Nate's Reality.jpg
This panel is the biggest hint as to who this Dani is. Just like the actual Dani, she and Nate fell in love with each other but by that panel, unlike the others, we can tell that it happened inside Age of X-Man - just in an earlier iteration of it. It's very likely that Nate Grey locked up Dani because he loves her too much and knows that putting Legion between himself and her will be enough to make sure he won't destroy his vision for her. The real question is who is out there? Is she talking about Legion in reference to knowing that Nate is going to lock her up, or is she talking about Xavier or Apocalypse?