Don't the show, but to my understanding, the line is also a reference to years-long winter that is approaching the show's world, so it's also literal on this case.
As an NYC Transit fan, I have vivid memories of every bus in town carrying the "Winter is Coming" ad. As a heavy Internet user, I have a clear recollection of the "Brace Yourselves" meme being everywhere. You don't have to be a fan to get it.
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