Peeta almost lets go of Daine's fin - not in surprise, but in a kind of subconscious acceptance. He isn't surprised that she wants to leave; all the rifties do, to various extents. The thought of losing her makes him feel hollow inside, but he knows he wouldn't stop her if she tried to go, or if she succeeded.

"Where would you go?"

It isn't something he's contemplated himself, leaving the island. There is nowhere else here that he particularly wants to go, and the island holds his best chances of ever getting home. So he's curious how far Daine has thought this out.