The look on Dany's face at the joke makes it clear she hasn't found her sense of humor after falling out of the rift, yet.

"Nor do I," she replied after a moment of shifting her legs, eyes still on the creature before them. "I am Daenerys." It's been a long time since she's had to introduce herself. She stands out anywhere, as the last of her family, and when introductions are required, Missandei would do such things on her behalf.