At the end of Daemon's vision Helaena comes out of the shadows, telling him "it's all a story". Helaena's appearance is a little confusing as she doesn't seem to relate to the rest of the vision.

Just before Daemon's vision in Episode 5, Baela recounts how Daemon was angry that Rhaenys claimed Meleys before he did, ...

Helaena Targaryen may be one of several ... when she seemingly communicates with her uncle, Daemon Targaryen (Matt Smith), during his vision of the Song of Ice and Fire prophecy.