If they lose the war, what's left of Daenerys and Jon's forces and their allied houses may sail off across the ocean looking for a new home. This isn't Earth, the land masses are different, but there's probably at least one New World waiting for them on the other side of the planet where the walkers can't follow. They've said the ending will be tragic, so why not? Defeat, conquest, the loss of their homeland, with a sliver of hope for the future somewhere else.