I assume you're referring to the moment in episode 202 where Mel tells Stannis that his wife gave him "No sons, only death." Whilst you could take that to mean that he had no children at all, that's not what she said. Indeed, the greyscale could be what she's referring to by 'death'.

However, Selyse has been around. We even saw her (played by an extra) in the first episode of the season and Stannis referred to her in episode 208.