During Comic Con 2017, Liam Cunningham admitted that after filming the scene where his character Davos gives Shireen the little wooden stag, he smuggled the real prop off the set. He gave it to his own daughter for her collection, stating that she should wait for the episode with the stag to see the significance. However, at the time, Cunningham did not know about Shireen's fate, as he had not been required for the filming of that scene. While watching the full episode with his daughter, both were understandably a bit horrified by the morbid implication of the gift. Cunningham joked that they are both "still in family therapy for that".
The location used for Daznak's Pit was Plaza de Toros in Osuna, Spain, an actively used bullfighting ring that is over a century old. It needed to be heavily redressed to match the architecture of Meereen, as well as have two additional seating tiers digitally added in postproduction to wide shots. The scene took 12 days to film, and involved 1,000 extras who were digitally doubled in post-production.
In the audio commentary of this episode in the Blu-Ray, it was stated that the reason Drogon could be so badly injured in the Fighting Pits is that he's just an adolescent dragon. His impenetrable adult scales haven't come in yet.
Shireen's sacrifice was foreshadowed in Valar Morghulis (2012). After Stannis loses the battle at Blackwater Bay, he shows remorse for murdering Renly, believing Melisandre that the assassination was necessary for him to become king. Melisandre replies: "This war has just begun. It will last for years. Thousands will die at your command. You will betray the men serving you. You will betray your family. You will betray everything you once held dear. And it will all be worth it because you are the Son of Fire; you are the Warrior of Light... you will be king."
Several television writers and historians have noted parallels between Stannis' sacrifice of Shireen and the Greek legend of Agamemnon, a Greek king who angered the goddess Artemis when he killed one of her sacred deers. On the advice of one of his seers, he then sacrificed his daughter Iphigenia to appease the goddess and give his fleet favorable wind to sail on Troy. Some variations of the legend have the goddess accept a deer in his daughter's place at the last moment. A deer (stag) is also the sigil of House Baratheon. It should also be noted that although the sacrifice worked for the Green king in the legend (he successfully conquers Troy), it notably does not for Stannis.