Well the show too a detour from the book on Ramsay, so we don’t know how this was handled in the book.
I’m wondering what is the significance of that little Baratheon symbol being found by Davos.
And what did the red lady do to Jon?
Stannis Baratheon tried to take Winterfell from Ramsay Bolton. Occupanying his army were his queen and his daughter. The red woman convinced Stannis to sacrifice his daughter (burn her alive) in order to win the coming battle. Little pincess Shireen dies screaming, the queen hanged herself the next morning, and Stannis lost the battle anyway.
The toy that Davos found belonged to Shireen. The burned wood by his feet was the remnants of the burning.
Not sure what deeper meaning the show was trying to make.
Slightly different topic:
The Red Lady is a priestess of the Lord of Light. In a few cases, such people have been able to bring people back from the dead. Jon was dead. She brought him back to life. He was asking her not to do that again.
Means Davos now knows the red lady burned the kid, and he will exact revenge.
and BTW: that was the greatest GOT of all time episode.
He found the evidence that Shireen was burned at the stake for the red god, the way Shireen’s mother sacrificed her brother and sister in law.
So now Davos knows the witch had Shireen killed, and he will lose all loyalty to her. Before that, he could have thought Shireen was killed along with her mother when Stannis was killed. But then it isn’t the Boltons’ fault but the red woman’s fault.