It would be helpful to know what kind of music you're using, but maybe some sort of "Goodbye" scene? It's just the first thing that popped into my mind, maybe this idea will inspire you:
I imagine Midna coming up all regal, taking the spotlight first and then maybe making a pose that symbolises how she embraces the shadows and will go back to the Twilight Realm. Link runs up on stage and looks like he wants to talk to her, but she just puts her hand on his shoulder in a friendly goodbye gesture and leaves. Link stays, but turns in different directions (so the costume can be seen, it's important you choose gestures/poses for both characters that show off the costumes well) because he is unsure what to do, maybe trying to follow her for a moment, but deciding not to. He then leaves the stages all defeated (if possible of course in different direction, which would fit the idea better than him following her directly).