Look, Dany might have the dragons and Jon might have the legal claim to the Iron Throne, but we all know that, deep down, Tyrion Lannister is the real hero of A Song of Ice and Fire. At least, he's the smartest and the funniest and the only one who seems to have a solid grasp of economics. No matter who ends up on the throne of Westeros, Tyrion is probably going to be the one running the actual government from behind the scenes, while the king or queen swans about being hot. He'll make a great leader one day... but he should probably deal with some of his personal baggage first.
Tyrion spends a lot of time cleaning up other people's messes and getting imprisoned for other people's crimes. But is Tyrion ever going to get a chance to deal with his own tragic backstory? Like Jon and Dany, Tyrion lost his mother in childbirth, grew up as an outsider in his own home, and fell in love as a spunky teen, only to lose that first love to tragedy. Ygritte and Drogo are both definitively dead, though. Tysha, Tyrion's first wife, is not.
So where is she? Who is she? And is Tyrion ever going to get over her?
I mean yes, our Tyrion likes to party, but beneath all that sex and booze, he's the only Lannister with a true heart of gold. He's a romantic. He loves Shae until she falsely testifies against him in court and sleeps with his dad (ouch). He respects Sansa, who he's forced to marry, and refuses to touch her without her consent (a very low bar to clear, but still better than most of the dudes in Westeros). He doesn't return Penny's affections, but he still puts his life on the line to protect her in Meereen.
But through it all he never stops thinking about Tysha.
When lil' Tyrion was a teen, you see, he and his brother Jaime rescued a commoner girl from some brigands on the road. She and Tyrion hit it off, and eloped together, knowing that Tywin Lannister would not be down with his kid marrying a peasant (even if Tyrion was his least favorite kid). But of course, Tywin found out about the teens' secret love, and dragged them back to Lannisport.
Tywin had Jaime tell Tyrion that his "wife" was really a whore he had hired to "make him a man," a lie that Tyrion believed for years. And then Tywin had Tysha brutally assaulted by all of his guards in turn, before sending her away from Lannisport for good. Tyrion tried to stop thinking about her after that (and failed).
It's not until Jaime is helping Tyrion escape the Red Keep that he reveals the truth. Tysha wasn't a hired actress, but a regular girl who was genuinely in love with Tyrion.
At long last, Tyrion confronts his dad about what he did to Tysha, before murdering his dad on the toilet (nice). Tywin simply says that Tysha went "wherever whores go" after he sent her away.
As he travels Essos, Tyrion keeps asking people where "whores go," hoping to find his long lost Tysha. Instead, he finds Jorah and Penny and winds up going to Meereen with everybody else to hit up Daenerys.
So the truth is... we don't know where Tysha is, or even if she's still alive.
But, of course, that's not going to stop fans from speculating.
After all, we have already meet a prostitute who seems to have Lannister connections: in Braavos, where Arya Stark is running around as a baby assassin, there is a woman called the Sailor's Wife, who does not reveal her true name. She only sleeps with men who "marry" her first in a faux brothel wedding, and she's fluent in the Common Tongue of Westeros. She's upbeat and witty and in control of her business, but also still vaguely sad about her first husband. She claims that he was "lost at sea" when she was only about 14.
She also has a 14-year-old daughter by this mysterious first husband: a pretty girl named Lanna with shining, golden hair.
Considering that all the Lannisters are blonde snobs, and that "Lann" is the founder of their house, it's not a huge stretch to imagine that Lanna's dad was a Lannister. And that the Sailor's Wife is a grown up Tysha, who fled Westeros to make a life for herself in Braavos. The only snag is that Tyrion was never really "lost at sea." But if I was Tysha, I'd probably want to come up with a nicer backstory for myself, too.
So it's possible that Tyrion's boozing and whoring could lead him straight back to his first wife... or even to his daughter. It's possible that he'll pass through Braavos on his way home and discover that he has a whole family waiting for him. Or it's possible that he might never find her again, or that grown up Tysha wants nothing to do with him now that she's living far away from Lannisport and those ugly memories.
Let's just hope that Tyrion can avoid dragonfire and binge drinking for long enough to find the love of his life all over again... and that she'll be happy to see him, too.