Full quote,

“That is the last thing I say before the cheeky little s--- stabs me,” she said of her love interest Harington, who kills her in the final episode. “F---ing outrageous. I was so pissed. I was absolutely livid.”

And if you watch the interview she isn't really angry, she (as Dany) is pissed that Jon stabbed her, which, yeah, no character likes getting stabbed.