Because Vaan wasn't from Spira, Tidus didn't immediately retract his hand. When Yuna relinquished his, he suddenly looked to the side, humming to himself and probably making the whole action that much less subtle. He wasn't exactly uncomfortable, but this was new. He wanted to avoid comments about it.

"I thought it was funny," He remarked casually, returning his attention to Vaan. He managed to look sheepish, suddenly very fascinated by his shoes, but he didn't move away.

"Uhhh...something like that. Looks like we're on the same side now though!" Which he definitely preferred.