Who would think such a thing?

You do not would be followed by "need" judging from the context of conversation

Also, not Tyrion.
 
Catelyn it is. Said to Robb when he told her Bran and Rickon need her and she needs to go to Winterfell.
 
I think this is classic Catelyn. She either wants to hold on to Eddard, Robb, or mayhaps even her father.
 
I do know Catelyn well. She is intelligent and caring, but can get caught up in the moment and become reactionary.... even hysterical.

Here we go...

Remind me to thank the gods that I was born a Lannister.
 
Yes, Tyrion thought that after talking to Cleos, but while receiving reports on the fighting in the Riverlands.
 

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