My son thinks that John Snow has Targaryan blood (since we never found out who his mother is). So Melisandre will save him somehow because of his royal blood.
He might be right, I think Jon Snow's birth mother is Ned Stark's sister and his birth father is a Targaryan ( the Mad King's son). I think Jon Snow is the Ice and Daenerys Targaryen is Fire, and they will eventually hook up... hence the Song of Ice and Fire.