いろいろな言い方がありますので、
Oh , poor thing ! Why on earth would you have a dream like that ? I think because you recently watched that creepy movie .
Oh, poor thing! かわいそうに!
Why on earth would you have a dream like that? 一体全体、なぜそんな夢を見たの?
I think because you recently watched that creepy movie.ぞっとする(不気味な)映画を最近見たからよ
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What on earth は一体全体という意味で 質問と感嘆で強調のために使われます
What on earth are you doing? 一体全体、何をしているのですか
creepy, scary, weird, eerie, frightening どれでもいいです。