Who Really Was Azor Ahai/The Last Hero?
Azor Ahai was a mythical hero whose origins are traced back to Essos, specifically from the shadowy region of Asshai. Asshai doesn’t properly appear in A Song of Ice and Fire or on the show, but the ancient land is referred to several times, most notably in the story of Azor Ahai. According to legend, he was a warrior who forged a magical sword by plunging the steel into his wife’s heart and tempering it with her blood. The sword was called Lightbringer, and supposedly Azor Ahai used it to end a long era of darkness.
The other half of the legend is a prophecy that he will be reborn one day and once again be instrumental in beating back a long night. That prophecy is central to several plots in Game of Thrones and The Long Night. Melisandre believes Stannis is Azor Ahai reborn, which is why he changes his sigil to a heart with a flaming sword through it when he joins the religion of R’hllor and accepts her beliefs. Stannis didn’t turn out to be the right choice, but Jon and Dany are likely candidates.
In one of many parallels between eastern and western mythology from this era, there’s a similar legend in Westerosi mythology. The Long Night is said to have ended in part because a figure referred to as The Last Hero sought out the Children of the Forest at great peril and managed to gain their assistance in defeating the White Walkers. In the novels, Sam Tarly mentions that there are mentions of the Last Hero using a special sword made of dragonsteel to defeat White Walkers and that it was given to him by the Children of the Forest. And in both the books and the show, he’s also prophesied to return as the "Prince That Was Promised".
Like Bran the Builder and other figures from the Age of Heroes, we can’t take their descriptions literally, and that raises questions. Were there actually two men with coincidental things in common or is that a distorted echo of reality? It seems more likely that one large conflict happened and was interpreted in different ways by different cultures and/or regions. That would account for the similarities in the Azor Ahai/Last Hero stories and accompanying prophecies. Perhaps there was one instrumental person during the first Long Night who brought about victory, or maybe it was an instrumental group. It feels very possible we’ll get to the roots of both legends in The Long Night as well as why they’re so similar.
Are The Two Long Nights The Same?
As is evident in the legend of Azor Ahai as well as other in-universe mythology from Essos, lands on the eastern continent experienced a “long night” of their own. Stories from the ancient Rhoynish mention their great river freezing, as well as demon creatures terrorizing in the longest winter and lack of sun they’d ever experienced, as do other cultures. There are even stories blaming the cause of the darkness on a king who practiced necromancy, a practice adjacent to how the Children of the Forest create the White Walkers and exactly the same as what the White Walkers do to create their armies.
The fact that the Long Night seems to have happened to places other than Westeros doesn’t really get acknowledged on the show, but it’s clear from clues that in A Song of Ice & Fire, both regions were affected, presumably at the same time. When one takes into account the fact that the continents were much closer 8000 years before the events of ASOIAF and Game of Thrones (physically connected in the case of the Rhoyne and Dorne), it’s easy to see how the White Walkers could’ve and would’ve invaded both regions.
There’s not so much a question to answer here as an opportunity to explore. Considering Game of Thrones spent the bulk of its time in and talking about Westeros from nearly every angle, it would be gratifying to get a deeper look at Essos in The Long Night. Lands like Asshai and Yi Ti that only exist in legend during the time of Game of Thrones could be physically realized and offer the prequel the chance to explore something wholly new. If the first conflict with the White Walkers really did affect the extensive area legend seems to indicate it did, The Long Night offers the possibility of visiting those places.