I don't quite see why everyone thinks Dany is going to have to be the new Nissa Nissa. Obviously, stabbing her didn't kill off all the WWs so I'm not quite sure how it would work now. Or maybe I just don't want Jon to have to kill Dany because I don't find that to be "bittersweet" at all.
Anon you have asked about one of my most hated theories. I don’t believe Dany will be any Nissa Nissa figure. I don’t believe any of the main female characters will take on a Nissa Nissa role and here is why.
We are told the tale of Azor Ahai and Nissa Nissa. Here are the relevant quotes:
Do you know the tale of the forging of Lightbringer? I shall tell it to you. It was a time when darkness lay heavy on the world. To oppose it, the hero must have a hero’s blade, oh, like none that had ever been. And so for thirty days and thirty nights Azor Ahai labored sleepless in the temple, forging a blade in the sacred fires. Heat and hammer and fold, heat and hammer and fold, oh, yes, until the sword was done. Yet when he plunged it into water to temper the steel it burst asunder.
“Being a hero, it was not for him to shrug and go in search of excellent grapes such as these, so again he began. The second time it took him fifty days and fifty nights, and this sword seemed even finer than the first. Azor Ahai captured a lion, to temper the blade by plunging it through the beast’s red heart, but once more the steel shattered and split. Great was his woe and great was his sorrow then, for he knew what he must do.
“A hundred days and a hundred nights he labored on the third blade, and as it glowed white-hot in the sacred fires, he summoned his wife. ‘Nissa Nissa’ he said to her, for that was her name, ‘bare your breast, and know that I love you best of all that is in this world.’ She did this thing, why I cannot say, and Azor Ahai thrust the smoking sword through her living heart. It is said that her cry of anguish and ecstasy left a crack across the face of the moon, but her blood and her soul and her strength and her courage all went into the steel. Such is the tale of the forging of Lightbringer, the Red Sword of Heroes.
“I looked at that book Maester Aemon left me. The Jade Compendium. The pages that told of Azor Ahai. Lightbringer was his sword. Tempered with his wife’s blood if Votar can be believed. Thereafter Lightbringer was never cold to the touch, but warm as Nissa Nissa had been warm. In battle the blade burned fiery hot.”
Azor Ahai sacrificed Nissa Nissa to forge Lightbringer. Lightbringer has already been forged. There is no need for Azor Ahai Reborn to make another sacrifice to forge a sword that already exists. Aside from this, as @nobodysuspectsthebutterfly has said before, there is another way to make a sword burn fiery hot, and we’ve already seen it in the books. Beric Dondarrion has a flaming sword and unlike the one Stannis wields, Beric’s burns fiery hot in battle. Beric died and was resurrected by R’hllor and it was through this resurrection that he gained the ability to make his sword burn hot with his blood.
If Jon is Azor Ahai as suggested in Melisandre’s chapter then he won’t need to sacrifice somebody he loves to forge a weapon. Perhaps Jon is the sacrifice needed because by dying and being reborn (resurrected), it seems quite likely he will have the same ability as Beric had, in which case nobody will need to die for him to produce a blade with Lightbringer’s characteristics to use as a weapon against the Others.