Daena Targaryen

Daena Targaryen, also called Daena the Defiant, is an unseen character in Game of Thrones. She is not expected to appear in the series, being long dead by the time it begins.

Background
Daena Targaryen was a Queen of the Targaryen dynasty and a sister of Baelor the Blessed. She also became the lover of her cousin, Aegon IV Targaryen. From their union, Daemon Blackfyre was born.

Season 1
Daena is mentioned in the House Targaryen's entry of the book The Lineage and Histories of the Great Houses of the Seven Kingdoms

In the books
In A Song of Ice and Fire, Daena was the Queen of her brother, King Baelor Targaryen. He had taken her as his wife at the insistence of his father, Aegon III. However, the two never consummated their marriage. Instead, Baelor had, Daena, along with her sisters Rhaena and Elaena, locked at Baelor's orders inside a section of the Red Keep that would become known as the Maidenvault, so they wouldn't incite him or others in the court to lust. During this time she escaped her confinements several times and had an affair with her cousin Aegon, despite he was married with Naerys. When she became pregnant she refused to name the father and became known as "Daena the Defiant." She named her son Daemon and raised him alone.