This story is a good evocation of the climate of danger and fear that existed during the final year before the downfall of Voldemort. The conversations among the students on the train are stilted. Assuming the train is bugged, they speak in code which carries double meanings. "She had copies." The first year students are described as terrified and so scared. (It would have been nice to give a bit of description of what the first-years were doing that made them appear scared.)
The author includes brief mentions of Luna's imaginary creatures. She thinks about Blibbering Humdingers and Invisible Meese, and mentions Crumple-Horned Snorkacks and Wrackspurts in passing, during the don't-mention-anything-important conversation in the compartment. These mentions serve to show us that this is still Luna, but changes in her communication style ("Luna was getting a bit better at subterfuge") show that as she matured, she became more aware of how her speech sounded to other people.
Luna understands instantly why she is being taken from the train and why she is not in immediate danger of death. Despite her outwardly dreamy demeanor, she has a grasp of the politics of the situation. "She tried to keep her tone casual" indicates that she instantly recognized how serious this development was.
When she says, "Yes, it's very nice of them" to Bellatrix, she is continuing to maintain her facade of non-threatening naivete, although we see later in the book that she is the person who survives about three months in the Malfoy dungeon and is able to cut bonds with a hidden nail.
This story is well-written, with only the one suggestion mentioned already. It avoids stereotyping Luna as out-of-touch and reveals her innate intelligence and toughness. A good job.
I love how you characterized Luna, but in the seventh book, it said that Luna had been taken during the Christmas season. So why would she ask her friends if they had a good Christmas? She would have already been taken... (see chapter 20, Xenophilius Lovegood, pages 396-397 of the American version of the Deathly Hallows) other than that, I think that this was a great short story. You captured the essence of Luna well.