Either close & re-load the game... or set up a camp and you'll appear somewhere safe?
A tiiiny skeptical about the 2nd one though. I was once in Roanoke, and set up camp PERFECTLY normally, but when it switched to the angle of John sitting by the fire, for some reason my horse became a saddle icon and I got the message that "it died" (I SWEAR, I don't know how it happened...? Like, we were in a perfectly safe spot lol).
Frustrated too, because she was the silver & white MFT, lvl. 4 😭