Due to being a casual reader and a certain wiki site down for maintenance, my understanding of the lore is not watertight.

Lyanna glanced up from where she lay. "Ned."

He came to her bedside where there was blood and a wrapped bundle lay and the handmaidens, petrified, and his sword blooded and in their faces relief followed by burden.

"He must never know. No one must ever know."

Ned took her hand. "Lyanna. What happened?"

"Robert - he must never know. What happened here. You must take me back."

"The king has asked for your return."

"He cannot know me. He cannot now - expect me to be his queen."

"You cannot know what he wants. He is a storm lord no longer."

Ned helped Lyanna from the bed. She winced and ached and her handmaidens followed. Outside, the tower was a peril to look upon and the corpses fresh on the ground.

"This must all be behind us. For your sake," Ned implored.

"How can it? Ease me gently onto the horse. Father never let me ride. I should dislike it forever more."

Lyanna held her stomach.

"We must bury him, Ned."

"Not us. We must go. There is too much at stake."

"I must say goodbye!"

"For your safety," Ned clicked to his horse, "There is no price too great. He must only live in - in as what he might have been. In our memories."

"Every day, Ned. You must know."

"I bear the burden too, Lyanna. This will be a kingdom where Targaryens are not welcome. You must lock yourself away."

"It is no trouble for me - it is the life of a lady."

"And of a queen?"

"Have no trouble on that account. He cannot want me with such particulars as I mean to communicate to him."

"Lyanna… you cannot refuse him."

"It will not be necessary for me to refuse him."

Ned and Howland Reed flanked Lyanna, and she could not be in more pain. Their swift ride took them north through the Reach where, by their conversation and by her asking those queries that they stop worrying about her, was she quickly kept up to speed.

"I must rest for a long month after this. This can only worsen my condition."

"The Tyrells have cautiously bent the knee. We cannot determine their hospitality at present."

"You would keep me alive, but show yourself as loyal first, Ned?"

"The kingdom is a tinderbox. Robert will want to stamp out the flames of House Targaryen."

"Can we not talk about it? Not in the open field?"

"Never, Lyanna. Not even to whisper it down a well at midnight."

It took several days and longer to reach the capital.