She doesn't know exactly what she's supposed to say when she finds out her father's dead, even if Miss Minchin is expecting her to say that she's grateful for Miss Minchin's charity in keeping her.
Because she's not grateful, she's not anything other than shocked and alone and in pain. She's not thought of herself, her own future and wellbeing yet.
She's not like Miss Minchin.
Her Papa is dead and gone and he's not coming back to her and right now she can't spare a thought for what will happen to her.
Right now she just wants to be left alone to cry.