Around the World
Dany could go the other way, seemingly further away from Westeros. We don’t know what lies beyond the Shadowlands of Asshai, but if the World of Ice and Fire is round, she could cross the ocean or lands on the other side of the map and reach Westeros from the other side and cross land to King’s Landing. This would be sort of cool because it means that Dany has actually been taking steps closer to Westeros the whole time rather than moving further away. Of course she would still need to wrap up all of the problems going on in Slaver’s Bay, abandon them or be forcibly hauled away without returning to Meereen, maybe on Drogon’s back. Also, it is rumored there are dragon eggs in Asshai, and if Dany does go that way she could be the Mother to a whole lot more dragons.
Margery and Cersei Flee to Pentos
It is natural to assume that Dany has reached King’s Landing as the area in the leaked set photo looks like the area around the Red Keep, and two of the three characters in the photo are there now. But there is another possibility: Margery and Cersei came to Dany.
Margery is still in the Sparrows’ dungeon and Cersei only got out by her Walk of Shame. Both still have trials on the way, (and probably in true Game of Thrones fashion, they’ll be trials by combat), so if they both lost they might have the opportunity to escape and flee King’s Landing for Pentos, where they meet up with Dany (assuming Dany ends up there following her stay with the Dothraki). Of course, they could continue on to Meereen, but that’s much further away and it seems more likely they would go just across the Narrow Sea rather than all the way to Dany’s city under siege by the Sons of the Harpy.
There are of course problems with this. Why would Margery and Cersei flee to Pentos instead of Highgarden and Casterly Rock, respectively? They would be much more secure in their family lands rather than on another continent they’ve never been to. And it seems unlikely Margery would leave King’s Landing without getting Ser Loras out of the Sparrow’s prison as well.
Also, why flee together? They hate each other. Margery ended up in the clutches of the Faith Militant because of Cersei. It seems unlikely they would flee together, but then again Game of Thrones loves to throw characters together who you wouldn’t expect or who don’t get along. Still, Margery and Cersei on the road together would have to be very well set up for it NOT to seem contrived.
What does it all mean?
This photo is strange on so many levels. If Dany is entering King’s Landing as a conqueror why would she be having this peaceful stroll with Margery and Cersei? Also attacking King’s Landing isn’t exactly easy. Stannis lost the Battle of the Blackwater badly, and even without Tyrion and Tywin to save the day surely taking over the capital of Westeros wouldn’t be a cake walk. Even if it is this year’s Episode 9, (AKA the episode where King’s Landing and the Wall are attacked, and Ned, Robb, Cat and everyone you love dies, and the episode where Dany goes for a dragon ride), or this photo is in the Season 6 finale why would Margery, Cersei, and Dany be going for a peaceful walk in an un-besieged section of city?
If Dany is a prisoner brought to King’s Landing, why isn’t she dead? Wouldn’t it make the most sense to just execute her? Literally everyone else’s claim to the Iron Throne is predicated on the Targaryens no longer ruling Westeros. And George R.R. Martin doesn’t pull punches to let main characters survive. Just ask the Starks.
Instead of conquering could Dany have been made aware of the White Walker threat and the Long Night coming again and decided to forgo conquest to save Westeros? Even if that happened why would Cersei just be cool with her showing up and telling them about mythical monsters from the North? She made fun of Tyrion for even considering that the White Walkers could be real.
And Dany choosing humanity over the Iron Throne seems like something that should happen in the final season rather than in season 6 of 8. So maybe Dany is a political hostage in King’s Landing, and they didn’t kill her because plot and/or deus ex machina. Then this is just another set-back for her to overcome, albeit a huge one. With her army and lands, and at least two of her dragons on another continent, she would be in for quite a bad Season 7. (Although that could mirror Tyrion’s predicament in season 4 following the Royal Wedding).
Or maybe this really is just a between takes photo and Dany, Margery, and Cersei won’t be in the same place together for a few more seasons. The possibilities abound.