On page 2 in Edith Wharton's The House of Mirth, Lily Bart has missed the three-fifteen train to Rhinebeck when she meets Mr Seldon:
"What luck!" she repeated. "How nice of you to come to my rescue!"
He responded joyfully that to do so was his mission in life, and asked what form the rescue was to take.
"Oh, almost any—even to sitting on a bench and talking to me. One sits out a cotillion—why not sit out a train? It isn't a bit hotter here than in Mrs. Van Osburgh's conservatory—and some of the women are not a bit uglier."
What does Lily mean by the sentence in bold? The way it is phrased suggests that it is a joke, but if so, how does the joke work?