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HBO --- GOT. Seriously? This is how you end the season???

Rhaegar was Dany's oldest brother, not her father. That would make Jon her bastard nephew.

Right - my mistake; meant to say her brother. And in that family, does it really matter? :)
 
John Snow may in fact be dead but, I think Melisandre will save him using the power of his King's blood and he will be revived as John Targaryen, son of Rhaegar Targaryen and Lyanna Stark.

I really thought that your theory came out of nowhere but when I started looking at the time periods and the story lines, your theory fits pretty well. Lyanna Stark was kidnapped during the war by Rhaegar and she died of unspecified causes in Ned Starks presence. Perhaps it was the birth of John Snow that killed her. It would make sense for Ned Stark to keep this secret because Robert Baratheon would likely want John Snow dead if he knew he was the son of Rhaegar and Lyanna. Ned's story to Robert was that he cheated on Catelyn during the war with a women named Wylla but did not want to speak of Wylla to Robert any further. It all seems to line up with your theory.
 
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