
Theon and his father were killed during the Greyjoy Rebellion with the former hinted to be murdered by Gregor Clegane since he was found with his head crushed. Needless to say, there's not a whole lot that can pose even a hint of a threat to him. Curb-Stomp Battle: Balerion is a Primarch, which means he's basically a demigod. No one in Westeros took the Mad King's claims seriously until Balerion united Essos under the Targaryen banner and leading a massive invasion of Westeros.
The Cuckoolander Was Right: Aerys claims Balerion to be a dragon that will serve the Targaryens to destroy their enemies and conquer Westeros. He doesn't actively encourage the worship, but he certainly uses the influence as a way to spread his agenda. The Chosen One: Many faiths decide Balerion is the embodiment of a god - He's Azor Ahai to the Red Priests, the Stallion That Mounts the World to the Dothraki and a combination of the Warrior and the Smith to some septons. Big Brother Instinct: Balerion is furiously protective towards the Targaryen children, particularly Danaerys.
Badass Army: Balerion lead and transformed the Second Sons and Third Sons into a very formidable army known as the Dragon's Sons, which eventually becomes the Dragon Knights.Appropriated Appellation: Many Dragon Knights have tattoos of Dragons on their face since face tattoos were originally marks of shame to show that a person was a Essosi slave, but after Balerion freed the slaves, many of them joined his army and they redrew dragons on their tattoos as a mark of pride and to show their loyalty to Balerion for freeing them.Acquired Poison Immunity: Balerion is completely immune to poison thanks to his transhuman physiology, and in fact makes a habit of actually drinking beverages spiked with various poisons for recreation.And his Space Marine Legion, the Emperor's Children, are called the Dragon Knights in this story.Fulgrim is named Balerion here by Aerys, who declares that he shall be the Targaryen's new dragon, and a dragon needs a worthy name.