Where are Henry and Natalie in Act 2, Scene 1? Why is Natalie distraught?

In Act 2, Scene 1, outside a noisy club, a drugged up Natalie drags a reluctant Henry into yet another dance party, saying she deserves to party - her mother is getting electrocuted, "every day for two weeks." As Natalie and Henry dance and talk, Natalie saying as she pops another pill that she'd never let anyone "fuck with her mind like that," Diana is prepared for treatment.