Arya, Dany and Bran dying far away from anywhere without accomplishing anything would be total hack writing.
Dany did accomplish something though - she liberated Slaver's Bay (for the most part at least). Her warfare against the Ghiscari led to a destabilization of the region, and could have potentially been an interesting situation where her death would lead to a power vacuum that political factions in Essos (Volantis, Illyrio, the Dothraki, Qarth) could have been shown trying to take advantage of, leading to a situation of war similar to what was going on in Westeros. And of course it would set the 3 dragons free.
Furthermore, if Dany had been, say, assassinated by the Sons of the Harpy, she could have become a martyr for especially the followers of the Lord of Light, which could have kicked off civil war in the parts of the world where slavery is practiced. With the guidance of the red priests, Essos could have become an alliance of various city states banding together and trying to fight off the Long Night by supporting the Wall.
Or, for all we know, the Others north of the Wall are just one variation of them, and the Grey Waste in Essos is another location where the Long Night struck.