I really do like drawing these two. This is an idea I've been kicking around in my head for a couple days. I finally nailed a sketch that I liked and rolled with it. The size difference between Discord and Fluttershy becomes very useful in scenarios like this. At first, I drew Discord's wings folded in, but I really liked the idea of him sheltering her.
As for what happened to lead up to this scene, I have no story. I'm hoping maybe you guys have some suggestions. If you have ideas (like why Fluttershy is crying, etc.), please comment below.