Sonya knew that her relationship with her little brother was not to be underestimated. As far as both hedgehogs knew, they only relied on each other, ever since the youngest was brought into the world. Plus, they added on that reliance since they escaped the lab. They trusted very little of everyone, especially humans, except for each other. 

Crossing her arms, Sonya looked at Knuckles with a skeptical glare in her green eyes, as if she had doubted him. The look wasn't genuine, but she did close her eyes passively for a moment, after hearing the threat made towards Sonic. "Perhaps I gave him the right to. After all, we've got no one but each other", she stubbornly announced to Knuckles, with her eyes still closed.