"I mean, given all the setup, it could have actively been worse."

Maybe less comforting than it might be, and especially so given what she's about to say.

"So I met someone and it was ... nice, you know? Nothing Earth-shaking, just like normal first few dates stuff. But I wasn't exactly going to lead with by the way, I'm the result of an illegal human cloning experiment and my sisters and I are in the middle of fighting a biomedical corporation for our bodily autonomy and I also have a potentially fatal health condition. I felt like that was a little bit too much for even, like, date three." She sighs. "But, uh. Delphine took an interest. Had the two of us surveilled, did a whole background check on this woman — Shay — and told me that she had a military background she hadn't mentioned, strongly suggesting that she was a spy working with an organization who'd ... not important, but Delphine thought I was in danger."

There's really no way to finish the story while covering anyone in glory, but they've come this far. Still, Cosima's regret is clear. "So, uh. Delphine showed up and interrogated Shay in her home, and apparently at one point threatened to kill her and make it look like a suicide. I later learned. And after all that, Shay was just a normal woman who'd decided her military service wasn't third-date material either because, shockingly, she found it turned a lot of women off before they got to know her. So, uh. That all. Could have gone much better."

So "could be worse" presumably encompasses Shay was actually a spy for real and/or Delphine did kill her, among other things.