The Dothraki don't care about bloodlines, royalty or lines of succession. They follow strength. Period.
Melisandre seemed very interested in Jon at Castle Black, before she left for Winterfell. When talking of her visions, she has never placed Stannis clearly in them this season ("Bolton banners are burning", "I am walking the walls of Winterfell"), I'm not sure what exactly she has said earlier either. After meeting Jon, she may have thought that Stannis may not be what she thought. The poor return on Shireens sacrifice (half of his men left with all of the horses) told her that she was on the wrong track. If the leeches paid so well, burning Shireen (standing even, to ensure she suffered as much as possible) should have made every Bolton spontaneously combust.
And I suppose Tyrion will spend two and a half season trying to manage the unruly city of Mereen now. That is going to take a lot of wine.