Another way is through emotional support. She'll be there for Percy when he's feeling down or doubting himself, which is also a form of protection in the context of their relationship in fanfiction.
She often uses her physical abilities. For example, she uses her shield to block attacks aimed at Percy.
In many such fanfics, Percy uses his intelligence. For example, he might study the laws and regulations of the wizarding world thoroughly to find loopholes that can protect Harry from unjust punishments or accusations.
Zoro often puts himself between Luffy and danger. For example, when facing strong opponents, he'll be the first to step forward and engage, making sure Luffy is safe behind him.
Fred often uses his humor to diffuse tense situations that Hermione might be in. For example, if she's being harassed by some bullies, he'll make a joke that makes the bullies look stupid and also makes Hermione feel better.
She might physically stand in harm's way. For example, if there's a threat approaching Naruto, Kushina would put herself between Naruto and the danger. Just like how a mother bear protects her cub.
In some fanfictions, Naruto shows his protectiveness by getting extremely angry when someone badmouths Sakura. He won't tolerate any disrespect towards her and will quickly defend her honor. He might also use his influence in the village to make sure Sakura is always safe and well - cared for.
Thalia might show her possessiveness by constantly trying to keep Percy to herself. For example, she could be overly protective when other characters get too close to Percy. She may insert herself into conversations or situations where Percy is involved, even when it's not really necessary.
Well, she might constantly be by Percy's side during dangerous situations, like when they are facing monsters. She could also be very cautious about who Percy interacts with, fearing they might harm him.
Sasuke might show his protectiveness by always being near Naruto in dangerous situations. For example, if they are in a battle, she would quickly jump in front of Naruto to shield him from attacks.
They might use their humor. For example, if someone is making Hermione feel bad by teasing her about her studious nature, Fred and George will crack jokes at the teaser's expense, making Hermione laugh and feel better, which is a form of protection in a way.
She might be a bit surprised at first. After all, fanfiction isn't always something they talk about. But then she could be interested and ask Annabeth more about it, like what kind of stories are in the fanfiction.