Why Did Laena Decide to Kill Herself on ‘House of the Dragon’?

Unlike his brother, Daemon decides not to do this, and we quickly begin to realize that Laena is going to die either way. Daemon allows her the room to decide how she will die, though, and Laena, who is currently riding Vhaegar, the largest living dragon, decides that she wants to go out like a dragonrider. She asks Vhaegar to burn her alive, and although he initially hesitates, he ultimately complies.

Source: https://www.distractify.com/p/why-did-laena-kill-herself