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Sansa isn’t sure of this, she won’t say and she doesn’t even know but something about it is just…wrong.
The red lady has told her that she’s safe now and she wants to believe her, she does believe her, least of all because harming her would cost Stannis Baratheon allies he doesn’t have. Perhaps it is just the leftover anxiety of the Lannisters and the Red Keep. Maybe that’s all.
It did feel miraculous, it did feel divine that she found her way out of King’s Landing and to Stannis and Melisandre. They saved her, they’ve kept her safe, and Melisandre sees something in her she wishes she could see in herself, that she wants to make her keep seeing.
She wants to trust her, she’s trying so hard. And when the red woman smiles at her, gently and knowingly, as if she thinks Sansa can see the truth of the world that only the few of them share, she does.
The Lord of Light has granted her a gift, she must not refuse it.