When Devan Seaworth told her that Stannis had agreed to burn her alive as a sacrifice to R'hllor at the suggestion of the red priestess, deep inside, she didn't want to believe it. But Shireen had seen how much sway Melisandre had over her father. And she had seen the red priestess burn people alive before. So, she grabbed her thickest fur cloak and ran away with Devan. It was a small miracle that they weren't found out immediately by either deserters, her father's men, or the enemy's raiding and searching parties.