As was prophesied in the House of the Undying in Qaarth, Dany will see the Red Keep shattered and ruined, first gutted by flames so hot that they reduce the Iron Throne to slag, then blanketed by snows howling through gaps in the ruined ceiling and walls so like Harrenhal’s. She fulfils her vow not to merely stop the wheel of Lannister, Targaryen, Baratheon, Stark ever scheming to seize the reins of power, but to break that wheel forever. And break it she does, for she has come not to relive and restore Aegon’s Conquest, but to end it in an echo of its beginnings.
She will later have a transformative, deathlike experience that leads to forever freeing Planetos from the cycle of unnaturally long seasons since the ancient pact that warped the world to create them. Her dragons dead from the new Dance, magic fades away never to return. Having now joined Jon as someone who has passed through betrayal and death yet somehow returned for some higher purpose, and with both as broken by the War for the Dawn as Westeros itself, Dany joins Jon in rejecting all notions of monarchy. They leave the common people to make their own decisions just as Gandalf left the hobbits to take care of their own affairs after the War of the Ring had ravaged the lands and scoured the Shire.
Dany and Jon, now coëqual spirits from the beyond the grave, cannot continue to live in the war-torn world they themselves have won back for the smallfolk. Like Beren and Lúthien’s second life in Dor Firn-i-Guinar, the Land of the Dead That Live, Dany and Jon take their child to live a simple Second Life together as the family Dany foresaw in the House of the Undying, and neither is ever seen again by any living soul in Westeros.
We last see them chasing their Dream of Spring into the lands formerly Beyond the Wall where they can be free of kings and kneelers alike. The snows and ice retreat to reveal the countryside from Bran’s dark vision of the Children plunging dragonglass into a living man’s heart, and we see a green and pleasant land filled with blossoms exploding in a riot of color as
“the wings of butterflies unfold and rising songbirds stir the air,
where the morning comes alive with the music of birdsong
for the first time in ten thousand years.”