Even if Marg escaped the fire she'd be hunted by Cersei, who always hated her and would view her as a threat. And considering what Cersei is doing to Septa Unella, a quick death in the sept may be preferable. MAYBE if she and the Sparrow were on the same page when she first noticed they could have RAN and escaped, but yeah, the fire was pretty big and regular peasants in the surrounding area also got microwaved. Cersei = ISIS (how can some of ya'll stan
)
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And yeah, I did also interpret some of the Jon/Sansa stuff to be the ugly realization that LF is campaigning HARD for Sansa to turn on Jon. If Sansa has learned anything at all, it would be to think less about what he's saying and more about WHY he's saying it. Some of her grim reactions may (hopefully) be the realization that she WILL have to choose between Jon and LF. If nothing else, she knows LF will do anything to get what he wants, including selling the woman he "loves" to a mentally unstable rapist, so his two speeches about Jon not being her real brother / being unworthy of the throne, plus his lack of respect during the coronation should pretty much make it as
clear as anything will ever be with Littlefinger that he's got a target on Jon's back and wants to use Sansa as the pawn. Not to mention when she said she was stupid for wanting power at the start of all this, and didn't realize what she had at Winterfell already... I won't go so far as to say it'll be bad writing if she betrays Jon, since clearly they're going for a kind of conflicted thing here, but I guess we'll just have to wait and see.