Let’s take a look at what she might be doing. Beware, this theory is dark and full of spoilers…

So, after spending several seasons manipulating people, giving birth to demon babies, burning alive innocent girls and then partly redeeming herself by resurrecting Jon Snow, Melisandre has left Westeros.

You could suggest she did so because she doesn’t want to run into Jon Snow and Ser Davos again. But I don’t buy that. There’s plenty of bits of Westeros she can head to and never need to see them. And her obsession has been finding and helping Azor Ahai, the Prince That Was Promised.

She thinks it’s Jon, so why isn’t she stepping up at a time when he really needs her to take on the Night King?

Her enigmatic conversation with Lord Varys suggests she has bigger fish to fry. She told him she was heading off to Volantis, which is the capital of Essos but would return so she could die in Westeros, along with Varys himself.

As fortune-telling goes, it’s not really up there with “you will meet a tall, dark stranger” but it is fascinating.

So what is she doing in Volantis?

Well, several posts on Reddit suggest she has an ingenious plan — she is going to take off that magical necklace, transform herself into an ancient old lady and get some serious seniors discounts.

Another believes she is about to start a new business burning little girls alive to keep ice and snow from blocking roads in winter.

They’re both good but a third post is even better. It looks at Volantis and how it is host to a huge temple to the Lord of Light, guarded by 1000 fanatical spearmen dedicated to the Red Priests and Priestesses. Called the Fiery Hand, they could be a very welcome addition to the army fighting the Night King.

She could also bring back a bunch of other Red Priests and Priestesses, like Kinvara, the one who thinks Daenerys is Azor Ahai.

All these guys can turn swords on fire, which would make them very handy in a scrap with the wights and White Walkers.

All of this is in the books but hasn’t really been dealt with in any depth by the TV series.

It’s very plausible and could well happen.

There is another possibility, however.

We know that Euron Greyjoy is heading to Essos to pick up the Golden Company, a huge mercenary army that Cersei has hired to defeat Jon and Dany. We also know that Theon is in hot pursuit, with the aim of killing his uncle and saving his sister.

Given there are just six episodes of GoT left to go for season eight, it seems likely they need to merge these storylines.

Thus we may see Melisandre helping Theon redeem himself, save Yara and deliver a super-wedgie to Euron’s leather pants before both help with the final battle against the Night King.

(Of course, the real key to defeating the Night King is Euron and his tight pants. If they can get him to run at the Night King, the friction from that leather would start a fire that could easily engulf half the Night King’s army.)

Anyway, for Theon to succeed he will need help and we could see some forgotten characters, such as Daario coming back in to help. Melisandre could well fall into this category.

I see her and the other Red Priests helping defeat Euron and then sailing back to Westeros to tackle the Night King.

She knows it will end in her death but, given we know she’s about a gazillion years old anyway, that probably doesn’t worry her too much.

So there we have it: Melisandre heads to Volantis to save Theon, stop Cersei and Euron’s dastardly betrayal and then return to Westeros with enough fire-sword and fire-spear wielding maniacs that Dany and/or Jon get a crack at the Night King.

Now that might even make up for burning Shireen Baratheon alive …