This...conversation is going to suck. And Strange just tenses up like he knows this conversation is going to suck. There's a brief hitch in the start of his words, but he keeps talking, without making eye contact with Yuya. He's not going to start crying again (he is a magician, dammit, but also and just as importantly he's an adult) but he doesn't exactly want to watch Yuya in case of

"Were you in the ballroom once the illusions started to vanish?"

Strange still doesn't want to say it. Give him a few more hours and then he'll be comfortable saying that Arabella wasn't real. But right now, in this moment, it's too raw and too heartbreaking to actually say those words. Hopefully Yuya will get the inference.