Ever since the horrors of the Red Wedding, fans have been waiting with bated breath for the arrival of Lady Stoneheart and been constantly disappointed when she failed to appear. Lady Stoneheart is Catelyn Stark, only greatly changed: resurrected, mutilated, and vengeance-seeking. The time her body spent floating in a river after her death left her with an altered appearance, too: skin like curdled milk, white hair, and all the wounds that caused her death. Her still-slit throat even prevents her from speaking intelligibly. It's altogether gruesome, reflecting the rawness of Catelyn's pain and suffering. There's a lot of story to be mined from Catelyn's transformation, so why didn't Game of Thrones bring back Lady Stoneheart?
After being brought back to life by Beric Dondarrion, Lady Stoneheart takes over the Brotherhood without Banners and leads them in a bloody mission of revenge against the Lannisters, Freys, and Boltons. It all seems to fit right in with Season 6's current themes – the resurrection, the revenge, the sense that those who deserve to get their comeuppance finally are. Though the show has been light on the Lady Stoneheart hints to all but those on the lookout for them, fans have always held out hope. Conversely, some felt that bringing back Lady Stoneheart before Jon's eventual resurrection would have cheapened the moment, which is possible; Jon's return is what kicked off a waterfall of characters reappearing, after all.
It seemed like Season 6 might finally be the one to reveal her, too. So many forgotten characters were coming back and with the increased focus on the dead returning to do damage to the living, it really seemed like Lady Stoneheart could be among their number. There were also more references to Robb Stark and the aftermath of the Red Wedding than usual, keeping Catelyn's fate fresh in the minds of the viewers.
Back in 2014, actress Michelle Fairley shot down any Stoneheart fans in an interview with Entertainment Weekly. She confirmed Catelyn's death and explained that the show couldn't be expected to keep in every detail. It certainly didn't read like Fairley was playing coy in any way, just stating the facts. Now that it's 2016 and there's still no hint of Stoneheart, it looks like the chance to explore her character has passed the show by.
Fairley mentioned that "extraneous stuff along the way gets lost," and it looks like Stoneheart was simply deemed unnecessary to the plot; the same ends could be reached without her there, so showrunners D.B. Weiss and David Benioff cut corners by cutting her. After the Season 4 finale, director Alex Graves agreed in another interview with Entertainment Weekly, saying, "But to bring back Michelle Fairley, one of the greatest actresses around, to be a zombie for a little while – and just kill people? It is really sort of, what are we doing with that?"
(Just to stir the pot a little – in the very same interview, Graves also says that there's no hope of the Hound ever returning, which he did just a few episodes ago in Season 6.)
Despite her popularity, Lady Stoneheart was deemed inessential. Considering the story has charged on just fine without her, it seems that that was the case. It would definitely be cool to see Fairley again and in such a dark role, but she just wasn't needed for the story Weiss and Beniff wanted to tell.
Still, never say never.