Unlike Newhart though which had The Bob Newhart Show to reference in its finale, Game Of Thrones has no prior show to draw upon, so who knows where this proposed finale takes us?
The direwolf theory seems similar to the infamous Newhart ending, where it was all a dream and nothing was as it seemed.
While he hates the theory, Kit Harington does tell The Rich Eisen Show that it would definitely be the best way to piss fans of the show off.
(It would also be great/awful if that proposed ending then revealed Ghost to be the pet of the autistic boy who dreamed the entirety of St. Elsewhere.)