What stands out in these paragraphs is how calm the mother is and how understanding and emphatic both mother and daughter are towards each other. The mother instinctively knows not to panic her child. Despite the fact that the narrator's life is in serious danger, she smiles pleasantly through the window and calmly tells her what she needs to do. She knows that she needs to keep her daughter calm and relaxed for her to have any chance of surviving.
At this point, the daughter only seems to be concerned that her mother is dressed in only her underclothes.
I remember feeling lightheaded, of course, terribly relieved, and then embarrassed for her to be seen by the crowd undressed.
It is as if with her mother's arrival she has forgotten about her danger and presumes she is now saved. There is such an intrinsic bond of trust between them, so she doesn't even express any fear when she and her mother jump off the ledge towards the fireman's net. As she says, "I was still embarrassed as we flew out the window, toward earth."
When she finally expresses some doubt that they will land safely on the fireman's net, she just presses herself into her mother's body, and her feelings go away.