I understand now why Lucy was shaking while holding the book of END.

Back when Natsu woke up, he assured her that he would not die when defeating Zeref.

Lucy had unsteady faith in him on this subject, but chose to push the worry aside.

Then, chapter 523.

As Natsu begins his battle with Zeref, Lucy is once again questioning Natsu’s reasoning. She just has a bad feeling, but is once again, trying to push it away, because this is Natsu we are talking about.

But then, in chapter 527, worst fears come to pass as it is revealed that of course, Natsu’s life is still connected to Zeref; Mavis’ plan basically states this.

So when Lucy is handed the book, she of course feels completely overwhelmed by the fact that Natsu was wrong, and that Natsu could die.

Her look basically screams, “How is this possible” or “I can’t believe this is happening”.