Luna theory from Kingsglaive, ties into the game. Pure speculation, but I will spoiler tag it just in case. Mainly because it actually makes sense, but it also makes some bits of KG make sense as well: Spoiler Luna "does not fear death" and jumps out of the plane without a parachute because she knows when she will die, and it involves a prophecy that she, Regis and probably Ardyn are aware of and completely buy into it. In other words, even Luna knows she's going to die in-game. And knowing when she WILL die means she knows she doesn't have to fear death now. So she proved it by jumping out of a plane. This makes more sense than I'm making it sound, lol. My guess is this information was also shared with Nyx, and this is why all of a sudden he was willing to summon a bunch of giants to come in and destroy pretty much all of Insomnia just to get Luna out of the city with the ring.