Jon warned that she would be killed if she ever returned to the North because of what she did to Shirren, and her name is currently still on Arya’s kill list because of what she did to Gendry.
If Melisandre does fetch the Fiery Hand and brings them to the North, that could definitely be the end of her story.
Given that the odds are pretty stacked against Dany’s forces thanks to the army of the dead in the North and Cersei’s intended assault from the south, she and Jon may need all the extra soldiers they can get.
Melisandre has made enemies of the two stabbiest of Ned Stark’s kids — even if one of them is technically the son of a Targaryen — and her own prophecy that she’ll die in Westeros could come true quickly after a return to the North.