To learn more about how plausible this is, Discovery News reached out to Russell Deitrick, a graduate student at the University of Washington who previously spoke about GoT, planets and astronomy at a neighborhood event called Astronomy on Tap. Deitrick pointed out that as cosmic collisions go, it's pretty unlikely that a comet would have the force to destroy a moon (it's a small object crashing into a very big one). And from a celestial dynamics perspective, it's unlikely that the remaining comet fragment would come back to nearly exactly the same spot.
But other parts of the theory could be explained astronomically. For example, the "Long Night" sounds similar to the situation that occurred when a large object (such as a comet or meteorite) presumably crashed into the Earth about 65 million years ago, wiping out the dinosaurs. In the case of the generation-long Long Night, since the dust would only persist for a few years, he says perhaps the large impacts were spread out over several years and there were several shorter winters afterwards.
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"Debris from the moon and comet would have impacted the surface of the planet as meteorites. Presumably, at least a few of these meteorites would have been large in size (very small meteorites burn up in the atmosphere)," he wrote in an e-mail to Discovery News.
"These larger impacts can have devastating climatic effects - first heating the atmosphere, causing wide-spread forest fires, and kicking dust, aerosols, and soot (from the fires) up into the atmosphere and sort of ‘blacking out the sky', reflecting sunlight and causing long periods (years or so) of global cooling-analogous to nuclear/volcanic winter."