I didn't read through the comments/posts so this may have been said already. But for people speculating whether or not Jon/Stannis are actually dead and gone for good, here is the theory that's been building up to now:
Everyone who delves into the books and Westeros history are speculating who Jon Snow is. Again this is a theory and a fan theory at that: Jon is a product of Lyanna/Rhaegar or Lyanna/Aerys during Robert's Rebellion when she got kidanpped. So he might be a Targaryan by blood. In order to fulfill this three-headed dragon theory with a Targ riding each of the dragons, Jon Snow should still be alive to do this.
The only thing stopping him from persuing is his oath to the Watch. With him being dead, his oath is now broken. Mellisendre, by the look on her face after knowing half of Stannis' people left him and leaving no chance for a win, realized seeing the Bolton's banners burning in her insight wasn't Stannis' prophecy to fullfil, so she booked it and when back to the Wall. My guess, it will be Jon and she's going to use her magic to revive him. My prediction, John + Davos/Mellisandre and the wildlings (maybe the other half of Stannis' men) will probably take down Winterfell. Especially if new Jon gets wind that Sansa is still there.
I personally think Stannis is dead. He's useless now - no Army, no wife, no child, no Mellisendre. He's got nothing left and doesn't add value to the show. It doesn't make sense for GRRM to kill off every main character in the show and keep no-good Stannis floating around with nothing to do. Something could happen inbetween if he doesn't get killed, joins Breanne/Pod somehow. Maybe meet with Sansa/Theon? Who knows.
But again, this is GoT where GRRM could throw monkey wrenches into this well-oiled machine AGAIN.
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