"Well to be honest, I don't normally travel across worlds, ma'am," he responds, easily. "But things sure have been weird the last few years." In this timeline, he doesn't go back to spend his days with Peggy. Instead, he just realizes more that the world needs him to be Captain America, and that Peggy lived a full life without him.

Which is, coincidentally, how he winds up in Metropolis, or Gotham, or wherever this is.