Ans: Here 'she' refers to the girl who got into the compartment of the narrator at Rohana station.
When the train pulled out of Rohana station, the narrator asked the girl if she was going all the way to Dehra. Having heard that voice, the girl gave a little exclamation. She said that she did not know anyone else had been in the compartment. The fact was that the girl was blind, and for that she could not feel the presence of anyone in the compartment until she heard the voice. She gave a little exclamation, for it seems, she often faces such embarrassing situations.