I dunno man, I always thought Dunk survived the fire initially by kicking down a door that led to the survival of some of the Targaryens. It's possible he ended up living after that, perhaps allowing the world to believe he died as he joined the NW and eventually became Coldhands. Anything is possible, but it could also be a misinterpretation. Dunk could've gone back in to save Egg or die trying