He turns and starts to walk away. You stumble on behind him, not entirely sure where you are going. It seems to go on a long time, but somehow you find yourself underground. It is cold here - colder even that outside, but through your suit's rebreather you can smell it - water. Your pace quickens and he matches you, as you round a bend in a cave and see a glorious pool of water about a foot across, shimmering in the reflected light of your blue glowing friend.
You drop to your knees in front of the pool and rip off your mask, drawing deep the tangy taste of high-mineral content water. It tastes terrible, but it is water. You can almost feel it soaking into your tissues and cells.
You hear a voice say, "I must rest, but I will return when I can."
The blue figure vanishes.
You don't remember much after that. Just water, and blessed silence with no wind howling over the rocks. You wake some time later, feeling much refreshed, and with a clear head.
Your blue friend is back, clearly no delusion this time.
"You look better. Now, take what water you can carry and leave. Only death waits for you at the shrine."