The wolf isn't a literal wight of Lyanna or of the mother wolf. At least, not in my mind. The best way I can think of to explain it is another example pointed out by @GloubieBoulga a couple months ago: that Dolorous Edd is the "spirit" of Eddard Stark. The character shows up in the book shortly after Ned dies, and his first words are about the bones of the dead. He is completely unlike Ned in personality, but the things he says are things that Ned / The King of the Underworld would say. We