Share any fears that you have. What is your Knight's greatest fear? What is your lady most afraid of? Is it a recognized paranoia? What is the reason behind this fear?
Make sure the atmosphere is comfortable and free from distractions. This conversation needs to be private. That doesn't mean you must be totally alone, of course. Depending on the family it is possible to have such discussions on the couch in the family living room. In other cases it may be necessary to go to the back yard, take a walk together, or step out during a family gathering. Another possibility (and perhaps the easiest logistically) is to talk over the phone, though in person is better if possible.
Also (for those of you who are exhorters) remember that this isn't an opportunity to explain why your CB shouldn't be afraid of whatever they are afraid of. Fears exist, and in order to combat them spiritually they must first be brought to light so the root cause can be understood.
Don't expect to fully discuss this in one sitting. One day let the knight talk, another day let the lady talk. Depending on what fears and reasons there are this could be a very hard conversation. Don't rush it.