Como Dawny33 especulou e especulou corretamente. Foi fogo.
Isto é confirmado em uma entrevista por The Huffington Post com o diretor do episódio " Dragon and the Wolf ", Jeremy Podeswa, ao fazer a importante pergunta "Foi Ice ou Fire?" . (Ênfase minha ao longo)
“The way I looked at it was, when the sept burned down, that was green fire, and so then the dragon is going to have some kind of blueish fire,” he said. “It’s certainly still fire — it has the ability to burn the Wall and melt snow. But it’s going to have a different kind of magical quality to it, because it’s coming from an undead dragon.”
The Huffington Post in an interview with Jeremy Podeswa
Isso é re-confirmado em uma entrevista com IndieWire onde ele discute o humor da aceitação do fogo verde, mas não o fogo azul, apesar de que 'quimicamente' os dois seriam diferentes, vindo de um ser morto.
“It’s funny because people really accepted the green fire [of wildfire], which burned down the Sept [of Baelor] and the sea battle in the earlier season,” said Podeswa. “I think that fire can have many different manifestations. I think that the ice dragon fire is clearly still fire because it does melt The Wall and tear it down, but it had a particular quality because it’s coming from an undead dragon. So what the chemical nature of that is and the chemical nature of fire would actually be different coming from a non-sentient being. So there’s definitely some thought into that of what that should actually look like. But obviously, an ice dragon is going to have an icy kind of fire but it’s still fire.”
Jeremy Podeswa breaks down the final episode for IndieWire
Finalmente, ao falar sobre a quantidade de efeitos práticos vs visuais usados no episódio com The Hollywood Reporter , Jeremy Podeswa revela que há elementos interativos com as cenas em que a "chama" rasga a parede para baixo.
"... And there are many interactive elements also that people might not be aware of, like the dragon flame and the impact of that and what it does in terms of the effect it has on the Wall..."
The Hollywood Reporter in an interview with Jeremy Podeswa
Além disso, o script oficial para a 7ª temporada do Episódio 7 "O Dragão e o Lobo" afirma que era de fato blue fire :
Hovering near the base of the Wall, the ice dragon shoots forth a steady stream of blue fire, thick as a tree trunk, strafing back and forth along the base of the Wall.
"The Dragon and the Wolf", page 62 - Official Script