There's a lot of fan theories that Jon Snow is not actually Ned Stark's bastard but that he is actually a targaeryn. There's loads of theories about whether or not he's coming back. Kit Harrington has said no, he is dead dead! But I'm sure I read that even though he won't be in Season 6, he's signed up for Season 7!
Melissandra's days have to be numbered and she knows it. Maybe she will resurrect him!