Warning: full spoilers for the Game of Thrones series finale!
In the final episode of Game of Thrones, Grey Worm isn’t left with a ton of options. His queen — the sole purpose of his life and actions — is dead. The one love prospect he’s ever had, Missandei, is dead. And so he turns to the one remaining connection he has — Naath.
Naath is Missandei’s natural-born home. She reminisces about its white beaches and lush greenery to Grey Worm in a heartfelt moment between the pair. Although it’s also the location where she was first taken for slavery — at age 5, abducted to Slaver’s Bay where we are first introduced to her as a translator — Missandei has fond memories of Naath’s famous beauty. In Game of Thrones’ last season, she tells Grey Worm of her desire to go back to Naath once the war is over and he promises that they’ll go there together when the time is right.
Source: IGN.com Game of Thrones: Explaining Grey Worm's Plan