He stays sit on a chair for a while, looking at the priestess's dead body. He almost hoped, almost thought she would come back, in a way or the other. But, she stays still. When a servant comes in, she gasps with fear, but Stannis scowls at her and she runs out. Soldiers walk in after her: none of them look shocked nor sad nor mad. Melissandre was not loved among the soldiers. Most of them are like Stannis: non-believers. They just walk to the King and ask what they should do with the body.
"Burn her", Stannis orders, clenching his jaw.
"Your Grace, may I ask… what happened?" one of them asks.
Stannis, staring at the snow falling slowly on Winterfell, does not even turn to the man. He sips lemon water and explains:
"She admitted she killed my son."
The soldiers look at each other, bow and leave without a word, carrying Melissandre's body. Stannis doesn't get out watching her burn. Instead, he goes join Margaery, and tells her what he has done. She looks shocked at first, but then, when he tells her everything about what Melissandre had done, she breaks down crying in his arms and he comforts her, the best he can.
The following day, Renly and Loras come back from the Twins: all the Freys are dead, and they don't come back alone. The Tullys are with them: Edmure, but also Brynden. They bring with them 10,000 men. Renly has spared the female Freys, and tells Stannis, when they are alone, he will have to decide what he does with them.
They are reunited in the great room of Winterfell, men drinking beers, except for Stannis, as usual. He watches them talk but he feels tired, and weary. The joyful chatting gets more and more silent: everybody is staring at Stannis, and wait that he looks up at them.
"You look troubled", Renly says.
Stannis holds back a sigh and stands up from his chair, starts pacing up and down:
"Margaery is expecting a child. I cannot leave Winterfell without her. I cannot let her here alone. She cannot come with me. I cannot send her to Highgarden so she stays with her family. I cannot move. We need to move. We need to keep moving to King's Landing. We need to take this city."
Renly glances at Loras and Brienne. Nobody dare interrupts the King. He groans with frustration, and turns his back at them. For a second, he regrets Margaery is pregnant. Only for a second. Then he curses himself for having this thought. But, somehow, it's true. This pregnancy complicates things.
"I can go with her in Highgarden, with a strong escort", Renly says behind his back. Stannis, not even turning around, shakes his head:
"She already lost a child. The travel would last 4 months to go to Highgarden. I can't… It's too risky. But we're losing time and I don't like that."
"Stannis…"
The sound of Renly's voice makes him guess he has gotten closer from him:
"A son, Stannis, born from a real marriage, not an affair. A healthy son, from two of the greatest houses of this realm. Stannis, a son will only legitimate your claim a little more. The whole realm knows Joffrey is a bastard. Daenerys Targaryen has no child and…"
Renly hesitates and stops talking, glancing at Loras. This one nods at him. Stannis has turned to him, giving them inquiring looks:
"And?" he encourages them talking.
"On the road, we heard stories… People say she is cursed, that she'll never have children. Not alive, anyway. How can a woman pretend to be queen if she cannot have heirs?" ((NDA: literally the question I ask myself since all that hype about Daenerys…))
Stannis turns to Jon Snow:
"My sister will let you stay here as long as you want. That's not a problem. But… If you decide to go on marching on King's Landing, the people of Winterfell will take good care of the Queen and of the princess. I swear it. They owe you so much, it will be a great honor for them", the young boy replies. "And…" he says again after a hesitation. "If the White Walkers break the wall, we will need soldiers here. Lots of them."
Stannis nods:
"I intend to leave 20,000 men here when I'll march on King's Landing. But you are right, Renly. It is the best solution. Alright, we will stay here until Margaery delivers the baby."
"Do you know when will Davos be back? We cannot leave without him", Loras notices.
The King turns to the window: snow is still falling, more snow he has ever seen. He lets out a sigh again, but this time, the sigh denotes concern.
"I have no idea", he softly whispers.
Davos's laugh rings out in the silent plains. He cannot stop laughing, even with Theon's terrified looks towards him, even with the direwolf growling nastily at them. When he manages to calm down, his eyes tearful with joy and relief, he turns to the people standing in front of him:
"Hello boy".
Rickon Stark, his hand on Shaggydog's fur, ready to let the wolf kill these two men, stares at the oldest of them. He doesn't dare say anything. Osha doesn't look very happy, and is surprised by Davos's reaction. Her sword is still on his throat. The Knight moves his hand to his vest but Shaggydog groans even more and the cold steel presses his throat even more, making him bleed. Theon moans with fear and Davos raises his hands to calm everybody down.
"My name is Ser Davos Seaworth. I've been sent here to look for Rickon Stark and to bring him home safe. In my vest, there is a message from the King."
"Joffrey?" Osha despisingly says.
"The true King. Stannis Baratheon."
Osha glances at Rickon, then holds her hand at Davos. Slowly, not willing to anger the wolf more than he already is, he takes the paper out of his vest and hands it to her. She takes it and slowly reads, forming the words, just like Davos does. He can't help smiling:
"Who taught you how to read?" he asks.
She glares at him and he remains silent. Rickon stares at her: he is too young to read, but he looks impatient to know about this letter. Davos's eyes turn to him: he had not even recognized Theon, though his own sister has not recognized him either. He reminds him of Catelyn Stark even though he had not known her much: his bright eyes, his hair, long and unruly. The boy is young so young, it's already a miracle he had lived til now, after what happened to his family. If Davos reminds it well, Rickon is 4 now. He then turns to the direwolf: he has never seen one of them but he immediately knew what it was. Almost as large as a pony, Davos guesses he has not stopped growing up yet. His bright green eyes, beautiful, are staring at him, at the least of his movements. His fur, disheveled, is as black as Jon Snow's wolf's is white. He looks both scared and furious. After a moment, Osha gives the paper back to Davos:
"Maester Luwin", she mumbles.
Davos looks back at the young wildling:
"What?"
"Maester Luwin taught me how to read. I'm Osha. This is Rickon Stark, and Shaggydog."
As soon as she has said his name, the wolf calms down, his chops hide his teeth again and he starts trotting away. Davos stands up and shows Theon:
"This is Theon Greyjoy."
When she hears the name, Osha's eyes turn furious and she attacks Theon. Davos grabs her arm and Shaggydog comes back groaning louder than ever.
"No! No! I know what he has done, I know who he is but… Stannis promised to forgive him if we would find you. We found you. We're taking you back home. I understand you don't trust him, but trust me. Trust me."
Osha glares at him and looks down:
"You have a boat?"
"Aye. How do you think we got there?" the old smuggler asks, a smile roving on his lips.