It's one of the legends mentioned in two of the books, summarized (and sourced, because I'm not that stupid) here:
http://awoiaf.westeros.org/index.php/Bael_the_Bard
Basically, there's a Winterfell legend that has one of the Kings Beyond the Wall sneak over and infiltrate Winterfell by pretending to be a bard (with his name, Bael, becoming an anagram, Abel, used by a spying Mance Rayder), seduced that Stark's lone daughter, hid out in the catacombs with her long enough for her to get pregnant and give birth....
And then years later that baby boy becomes the next Lord Stark, kills Bael in battle, but is killed in turn by the Boltons.
The story almost certainly serves as a foreshadowing with certain predictions: for instance, Bael is supposed to have left a blue rose in the girl's room when he "married" her Wildlings style. If you know a certain fan theory for Game of Thrones/ASOIAF that is generally displayed as a mathematical equation using only letters, and have made a connection to it and the blue rise in the Wall in Dany's vision...