Copiado da minha resposta no SF & F SE ...
Os Targeryens, não estão imunes ao fogo, como afirmado várias vezes por George RR Martin.
Via westeros.org
some fans are reading too much into the scene in GAME OF THRONES where the dragons are born -- which is to say, it was never the case that all Targaryens are immune to all fire at all times.
Granny, thanks for asking that. It gives me a chance to clear up a common misconception. TARGARYENS ARE NOT IMMUNE TO FIRE! The birth of Dany's dragons was unique, magical, wonderous, a miracle. She is called The Unburnt because she walked into the flames and lived. But her brother sure as hell wasn't immune to that molten gold.
Em resposta à pergunta seguinte, perguntando se Dany sobreviveria ao fogo novamente.
Probably not.
Respondendo especificamente à sua pergunta sobre funerais, os Targaryens sempre queimavam seus mortos. Então, mesmo que houvesse alguma imunidade parcial a fogo, não duraria quando a pessoa estivesse morta.
De Uma Festa Para Corvos (Capítulo Sam POV):
He will still burn , Sam thought miserably, only now I have to do it. The Targaryens always gave their fallen to the flames. Quhuru Mo would not allow a funeral pyre aboard the Cinnamon Wind, so Aemon’s corpse had been stuffed inside a cask of blackbelly rum to preserve it until the ship reached Oldtown.
Nota: Nos livros, Aemon parte para Oldtown com Sam e morre ao longo do caminho. No entanto, acho que essa passagem ainda deve ser relevante para o programa de TV.