Lady Stoneheart does not appear in the show, despite being in the recent novels of A Song of Ice and Fire.
Have the writers or the producers of the show explained this choice?
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This is what Alex Graves said :
After being asked if the show even shot a Lady Stoneheart scene — since so many book-reading fans assumed she would appear at the episode’s end– Graves replied, “It’s a great question, because it’s all I asked about last year when I was doing [the episode with Brotherhood Without Banners leader] Beric Dondarrion — who ultimately is the person who finds Catelyn and turns her into Lady Stoneheart. But no, they didn’t do it. It was never on the docket to do this season — ever.”
Graves continued: “They [showrunners David Benioff and Dan Weiss] have such a challenge adapting the books into a really focused television experience. It’s very hard, it’s very complicated, it’s much harder then they’ve been given credit for, I think — and they do a brilliant job.
"But to bring back Michelle Fairley, one of the greatest actresses around, to be a zombie for a little while — and just kill people? It is really sort of, what are we doing with that? How does it play into the whole story in a way that we’re really going to like? It just didn’t end up being a part of what was going to happen this season.
"And finally one [more] reason: In case you didn’t notice, a lot happens this season … To add that in is something they opted out of. But what’s funny is that it was never going to be in the season, yet it took off on the Internet like it was going to happen.”
We then asked Graves if there’s any chance of the Lady appearing next season. “As somebody who’s worked deep inside the show, begged to have an answer and wants more than anybody, I have no idea,” he said. “They won’t tell me. They’re very good at being secretive.”
Even if they are keeping it secret from Alex how can we expect them to reveal it in a interview to general public. And if you don't know Alex Graves directed six episodes of GoT.