I think it would depend on what they see. I always thought of it as closing your eyes and losing consciousness for a brief second, then waking up in a field somewhere with JWs welcoming the newly-resurrected.
If I awoke and it was clouds and winged angels taking me by the hand, I guess I would have been confused. But Heaven is unlikely to cause any anxiety and understanding would arrive soon enough. I suppose Saint Peter would chide me, pointing out that if God was as I thought of him, I'd be walking towards a very different gate.
If I awoke and I was in hell... it might take me a few moments to realize that I wasn't in the 1970s Bronx.