Or even worse — one of them is killed and then raised by the Night King. That's what my gut tells me.

Nope, she was one of Euron's victims. The remaining Sand Snake is not Keisha Castle-Hughes

Your LOST reference was not lost on me, good sir.

Huh? Lyanna is Ned's sister and he's there to rescue her. Bran going in the tower means that he would see Lyanna dying as she gives birth to Jon Snow.