“Your highness…” 
““What? I wanna come with you!” 
“I must object, princess.” 
“Come on, it’ll be fun!” 
“I can’t bring you along, Luna.” 
“Why?” 
“I… don’t have a ticket for you.” 
“I know, so I’ll ride in here! It’s perfect!” 
“Princess…” 
“There’s plenty of room! Zip it up, and watch the tail!”
 
Luna, sweetie, I know Sir Goldshine is a lot of fun and that he’s very fond of you, but he, like everyone at the palace, gets vacation time. Time away from work. Time alone. By himself. Far, far away from his duties.
 
And there’s no airholes in there. How are you going to breathe for the next 12 hours? You’ve got to think these things through, kiddo.
 
Also as fanthrose pointed out, it would be really awkward explaining to security that he is not, in fact, kidnapping the princess. That’s a conversation you just never want to have in any way. Ah well, it was worth a shot.