In episode six, Laena tries to give birth to her child, but her labour stalls. The midwife tells Daemon that the baby will not come. He might be able to save the baby but cutting into her, but Laena would die. It mirrors the moment from the first episode, of the maester telling Viserys that either Aemma or her baby will die.
But Laena makes her own choice. She heads out to her dragon, Vhagar, and after telling her "dracarys" many time, Vhaghar incinerates her.