The show is not the books. The show was never the books. What happens on the show is not canonical to the books.
While there have been some changes made and moments that I liked in the show and while the books themselves aren't exactly perfect and do have issues of their own, the books are 5000% better than whatever the show turned out to be. So whatever has happened so far especially in the final season, and whatever happens in the series finale, just know that the books aren't going to happen the same way (and yeah, I know that GRRM has claimed that it's the same, but he's not been entirely reliable anyway with anything relating to the last two books he hasn't even finished writing yet, so, y'know, take what he says with a grain of salt).
Adaptations are tricky things. Some can turn out to be good even if they deviate a bit from the source material, while others not so good. And unfortunately while Game of Thrones might have started out decent enough with adapting the first book with the first season, it did go downhill after that. There's been many theories as to why, but I personally think that HBO/the showrunners had a completely different agenda from the start that wasn't meant to adapt A Song Of Ice And Fire as it should have been, or at least as what I believe it should have been.
Regardless, the show is almost over. What happens will happen, and we'll just have to hope that GRRM will get on to finishing the last two books so we can see what actually occurs in the end.
And even then, the fanbase for ASOIAF has been having their own fan theories and speculations for the series marinating for so long due to the long delay between the book releases, that I'm sure that even what happens in the final two books won't please everybody and it obviously won't stop them from keeping their particular headcanons. Same with the show, I'm sure. Because that's what fandom does, that's what fandom has always done when they don't agree with canon. So even if you're disappointed or upset or just plain hate everything, just know that you're not alone and that fandom will always thrive with making fanworks and content to fill that void