Sansa isn't a physical sort of person AT ALL but if Horatio convinced her that he needed her help (she wears Purple Dusk), she'd go help him break shields and things.

Continuing in that vein, Sansa is not gonna be too into drill stuff so if Horatio can gently encourage her that it's ok for her as a lady to learn how to fight win/win

And she will learn whist from him ahha.