Kyon's "closed space" experience with Kyoko is
very similar to the SOS-dan's experience in the mansion in "Snow Mountain Syndrome":
Physically nothing happened but the group was trapped in a prison of the mind.
1. To an outside observer, nothing happened. Tsuruya did not notice anything peculiar happen other than a 10 minute snowfall.
2. When the group entered the mansion they clearly took off their ski equipment, but when they teleported out, they were still wearing them.
Hence, it is highly likely that Kyoko held Kyon's hands to give the impression that they were transported to a closed space when in reality Kuyoh was doing her normal mind manipulations.
The fact that they would resort to such deceptions hints that they may have objectives even darker than those of older Mikuru.