My sense from the TV show is that this "theory" is essentially true.
The ruined throne room was a trap--note how she almost touches the throne and then recoils, realizing it isn't real. I think this indicates that if she would have sat upon the throne, she would be stuck in the HotU forever.
Likewise notice how she almost kisses Drogo but pulls away at the last second. I think she had given in and kissed him like she wanted to, she would have been stuck in limbo with her memories/dreams forever.
Some book readers were scandalized that they didn't show the same prophecies from the book, but a lot of those would be too over-the-top / literal / cheesy / spoilery / expenive if put to film, so I think the showrunners and director thought very carefully about which visions to show instead.
The ruined throne room *was* the song of Ice and Fire, a prophecy of destruction from dragon fire (note the fire-blasted remiains of the rock above) and the White Walkers (the never-ending winter). The encounter with Drogo was a suitable replacement for the vision of Raymond(?) Darry in the book who extends his hand to her and tells her to come back to join him in the house with the red door. This was obviously a trap in the form of an apparition of a loved one, just as it was in the book.
I thought the sequence was beautiful, but I may be in the minority.
Edited by Khal Pono, 06 June 2012 - 11:56 AM.