Burning his only heir to death has the bonus of unsettling his enemies. Roose Bolton, watching from the towers of Winterfell must assume Stannis is crazy and is trying to defeat himself. Rather than mobilising its full force, the Bolton army would hold back as they wait for Stannis to inevitably kill his own men. Perhaps they think if they wait long enough, crazy Mr Stannis will burn himself to death in the hope it will give him victory.
In fact, Stannis will most probably use this pyre as a NIGHT LAMP. The Boltons will be obsessed with this burning pyre that crazy Stannis used to burn his daughter. All Stannis needs to do is move the pyre over a big pit full of spikes and acid and dogs and relight it. When the Boltons attack in the middle of the night, they will run towards the pyre and fall into the pit, handing Stannis victory. Stannis is, after all, the foremost Westeros military commander.
But does this mean Shireen is dead? Was she sacrificed for victory?
Of course not! She is Stannis' only heir - if she is dead then his entire quest for the Iron Throne is meaningless. And would Stannis really burn his only child to death for a chance of defeating a shirtless Ramsay Bolton? Far more likely is the idea that she is still alive - but how? There are several tantalising possibilities:
- Stannis' military camp is in the middle of a snowy, frozen wasteland. Do people expect Stannis to let his daughter freeze to death? No, instead he gives her the best spot by the fire. Remember, Westeros is a land where the cold is extremely cold - could the heat of the fire have simply cancelled out the cold of the winter, leaving Shireen a pleasant warm temperature?
- Was it even Shireen that was burnt to death? It could have been one of the wildlings, such as Mance Rayder or Rattleshirt who were burnt in her place while under a magical disguise, Stannis having faked their earlier deaths to give himself willing decoys to use.
- Can fire even harm Shireen? Dany was absolutely fine when she walked into a similar firey pyre at the end of season one. Remember the Azor Ahai prophecy - the Prince that was Promise will be 'born amidst smoke and salt' (the smoke of the fire and the salt of her loving mother's tears) and will 'wake dragons from stone' (Shireen has greyscale, the stone disease). It is very possible that instead of just murdering his daughter like a maniac, Stannis is actually empowering her to fulfil her destiny of becoming the new Azor Ahai.