Severus is powerless to do anything. James is already dead. Lily is already dead. He can't pick out a time-turner and go back and fix it all. His guilt over being the messenger of her death is tied up in a hundred other things, no small number of them flinging hatred and blame at Potter. This makes it easier, but it also makes him even more sad. He was never good enough for Lily and he never managed to protect her, but at least he never lied about it.

(Severus has to force himself to stop thinking about it to forestall a memory overtaking him: Albus, sitting across from him, his voice weary but frightening. If the prophecy had never been handed over, then Voldemort would still be alive...)

Nothing to do but sit on the floor of his office and hold her. In time they'll have to get up and move on, but for now, it's just them.