Something that I've been thinking about lately is how she had a baby with her husband and the gypsy lady that delivered it said it died but to me, it seemed more likely that it survived and was hidden. Did the baby really die? From what I remember, Dani never saw it.
The reason I ask is because my sister (who reads the books) talks like the saviour of the kingdoms is born of two rulers and one day I thought... wouldn't that fit for the dead baby? Just a thought. I don't read the books so maybe this doesn't make sense.
It doesn't outright say that "the saviour will come from two realms". There's the Azor Ahai prophecy (which melisendre believed and thought/thinks Stannis was/is) where the saviour will be born amidst salt and smoke and save the realm from the long night. He will arrive under a bleeding red star. The burning red star could represent the meteor in the sky that appeared in the first season.
There's also the Targaryan prophecy that a saviour will arise "who is the Prince that was Promised". This one states that "his is the story of Ice and Fire". It definitely states that he will have Targaryan blood.
Even if they are two different prophecies they still could very well be speaking of the same hero. Melisandre uses the prophecy of "Azor Ahai" and "The Prince who was promised" interchangeably.
BUT:
"Prophecy is like a half-trained mule. It looks as though it might be useful, but the moment you trust in it, it kicks you in the head" - Tyrion Lannister
"prophecy is like a treacherous woman. She takes your member in her mouth, and you moan with the pleasure of it and think, how sweet, how fine, how good this is . . . and then her teeth snap shut and your moans turn to screams. That is the nature of prophecy, said
Gorghan. Prophecy will bite your prick off every time" - Maester Marwyn
"Prophecies are, you know, a double edge sword. You have to handle them very carefully; I mean, they can add depth and interest to a book, but you don’t want to be too literal or too easy" - George RR Martin