re: Crackpot ASOIAF Theories SPOILERS

The theory behind the dragon under Winterfell comes from the hot springs and specifically how warm Cats room was in Winterfell.

The theory behind the dragon in the Wall comes from how the magic around the Wall and how the Wall itself is magical.

There is something of a concept that has been around for awhile about ice dragons and the like. It ranges from there being ice dragons in the Lands of Always Winter, to the idea that the Wall is not natural and there is ice dragons beneath it. The latter example somewhat goes with the idea that the Horn of Winter is capable of waking the "Sleepers"

Also here's this part in the Nights Watch oath:

Night gathers, and now my watch begins. It shall not end until my death. I shall take no wife, hold no lands, father no children. I shall wear no crowns and win no glory. I shall live and die at my post. I am the sword in the darkness. I am the watcher on the walls. I am the fire that burns against the cold, the light that brings the dawn, the horn that wakes the sleepers, the shield that guards the realms of men. I pledge my life and honor to the Night's Watch, for this night and all nights to come."

I do think that GRRM's childrens story The Ice Dragon is set in the same world as ASOIAF and I think it may help explain winter and what's ahead