"When you are alone?"
There is an ellipse in this sentence, because it is not a real question. The full question would be something like that:
- vous faites ça lorsque vous êtes seul ?
In other words, the first part has been skipped, which is often the case in a running conversation, where you don't need to repeat what has been said because it is obvious. I agree that it is not obvious here, though.