Though this prophecy is only mentioned the show briefly, but is brought up a lot in the books, the prophecy being from Mirri Maz Duur (the witch who she burned in season 1), she said this to Dany;
When the sun rises in the west and sets in the east. When the seas go dry and mountains blow in the wind like leaves. When your womb quickens again, and you bear a living child. Then he will return, and not before.
This comes back in the season 7 finale, where Dany tells Jon that she can’t have child and that a witch told her and Jon says “probably not a reliable source”. However, the source might be more reliable than we think. Let’s take a look at this prophecy line by line and as we do this, remember prophecies are quite vague.
First up, “When the sun rises in the west…” Maybe the “sun” is actually “son” and rising in the west could mean rising to power in the west. Who is the son? Jon Snow obvious, or Aegon Targaryen the V (IV?), Rhaegar’s son. Jon has risen to power as the King of the North over in Westeros, which is obviously west of Esos where Dany was when she hear this prophecy.
“When the seas go dry…” Dry might not mean dried up like a desert but dry could mean solid, solid like ice. Winter has come and in the north the seas are freezing up, and in a sense are dry and can be walked on. So there is that.
Lastly, “and mountains blow in the wind like leaves…” or maybe a mountain falls, i.e., the Hound killing the Mountain, or we already saw it, the Night King and his Ice Dragon taking down the Wall, which looks like a mountain. Again, prophecies are purposefully vague so they can be interpreted and applied. So maybe, just maybe, Dany can have kids, and an heir with Jon who is the true heir to the Iron Throne. Of course we’ll have to wait until season 8 to find out, so buckle down until 2019 folks, it’s going to be a long two years.