Sam and Edd discovered a
broken horn among the dragonglass in a Knight's Watch cloak at the Fist of the First Men.
Mance Rayder mentioned searching for and then being in possession of the Horn of Winter that can supposedly bring down the Wall. Tormund later said it was a bluff, either because he didn't have it or because Mance didn't actually want the Wall to come down because he needed to get his people south of it for protecting them from the White Walkers too.
So it has been mentioned or teased on the show before.
And the
official (as of now) cover for The Winds of Winter features a horn on the cover, which could either be the Horn of Winter or Dragonbinder. GRRM confirmed that that is the cover for now, and he no doubt had some input on that, so I think it's pretty clear that a magical horn of some sort must play a significant role in the book.
Given the show's propensity for combining storylines and characters from the books, I don't think it's much of a stretch to think they might combine The Horn of Joramun/Horn of Winter which woke the giants and can bring down the Wall with Dragonbinder, which can control dragons. Euron Greyjoy can think he's gotten control of Dragonbinder (which he's obsessed with) but instead has the Horn of Winter and almost dooms them all.
Think of the plot strands we've got that just started but need to be resolved within two short seasons:
- Sam's journey to Oldtown, possibly still with the Horn in his personal belongings, and a library of ancient knowledge to learn its secret from, has to result in some insight or development about the White Walkers which we don't already know (we already know about dragonglass, dragonfire, and Valyrian steel affecting them) in order to justify his journey there.
- Euron Greyjoy, who is obsessed with dragons in the books, originally wanted to ally with Daenarys until his niece and nephew stole his idea, and
attacked Oldtown with his own Ironborn fleet in the books. If he can't ally with Daenarys he may try and get control of the dragons some other way, perhaps with a horn that he's going to try and find at the Citadel.
- The White Walkers have to pass by not only the physical barrier of the Wall, but also the magical barrier (which is why Benjen couldn't go south either). So far people dismiss every method proposed, but haven't suggested how this is going to happen otherwise.