This exact kind of questioning, to the point that it helped make the main character unlikable, was a significant feature of Lord Foul's Bane The first volume of "The Chronicles of Thomas Covenant". Of course the fact that the MC celebrated the renewed vigor that the fantasy world had brought him by raping the young girl who had first befriended him was a significant and unrelated factor there.
I would also recommend reading "The Man who Came Early" by Poul Anderson. In this story a US soldier stationed in Iceland during the 1950s is suddenly teleported to saga-period Iceland , probably somewhere between 940 and 980 CE. This is not a fantasy world, but the MC is as confused as if it had been. His failure to understand the world to which he has been transported proves fatal to him. The story has been cited as a response to Lest Darkness Fall and A Connecticut Yankee in King Arthur's Court.
I would also suggest "Frost and Thunder" by Randal Garret. Here is an SFF.SE story-IF thread that discusses it in some detail. Here also the MC must figure out what is going on, but does it rather more smoothly.
I would also suggest Watchers of the Dark by Lloyd Biggle. This is SF, not fantasy, but here again the MC is suddenly thrown into a very strange culture.
There is also Household Gods by Harry Turtledove and Judith Tarr. The MC (a lawyer from about 1998) is transported by divine act into the body of an ancestress living in a provincial Roman town during the 2nd century CE. Her ignorance of history is stunning and she is very confused and often mistaken about conditions and customs in the past.
How this is handled will depend on the general nature and personality of the MC. It will also depend on whether the MC is also the POV character. The MC may fairly quickly understand what in general has happened but be confuse by details, or may for a long time fail to understand even that s/he is in a different world.
Showing the MC misunderstand or be confused by specific aspects of the new world, things that everyone takes for granted there, all work well. So can showing the MC assume that s/he knows better than the inhabitants only to be proven wrong. Internal dialog as well as conversation between the MC and the other characters can be important, but it is probably important that there should also be significant elements of the main story, whatever it is, going on, rather than spending many pages on the MC's transition into to the fantasy world and nothing else. But there are many right ways to do this.