Did she say that or was it said on her behalf?
The people that killed JFK would not have been above telling her in the middle of the night that she really had no protection from them.
What I read was that she (understandably) freaked out and exclaimed that she was retrieving his brains 🧠(parts of it).
You notice she doesn’t embrace him or go for aid but immediately attempts to crawl out on the trunk lid.