"The Lord let you come back for a reason," Melisandre told Jon after seeing he was resurrected. "Stannis was not 'The Prince Who Was Promised,' but someone has to be."

The Prince That Was Promised (often abbreviated to TPTWP in fan discussions) is one of several prophecies mentioned in the books. So far in the show, Melisandre has only used the name Azor Ahai to refer to this foretold hero.

Legend says that Azor Ahai (or TPWWP) was a hero from the Long Night, and he will be reborn to deliver the world from darkness. Melisandre previously believed Stannis Baratheon was the hero, but she's clearly starting to put her hope into Jon Snow. Hearing the name of this prophecy said out loud was an exciting moment for fans.