I suppose that I missed this in Jon Snow's last chapter, but someone somewhere on the interweb mentioned that when he was stabbed, his blood was described as "smoking", not the typical "steaming"...which may also be indicative of his lineage. So, I whipped out the books and had a gander.
Here, GRRM describes Waymar Royce being stabbed by a wight in the prologue of Game of Thrones:
The pale sword bit through the ringmail beneathe his arm. The young lord cried out in pain. Blood welled between the rings. It steamed in the cold and the droplets seemed red as fire where they touched the snow.
In Storm of Swords, Sam stabbs a wight:
When he opened his eyes the Other's armor was running down its legs in rivulets as pale blue blood hissed and steamed around the black dragonglass dagger in its throat.
In Storm of Swords, wights rip open a horse's belly:
They had torn the poor garron apart, and were pulling out her entrails with dripping red hands. Pale steam rose from her belly.
A direwolf, chowing down on some grub in Dance with Dragons:
Steam rising from an open belly, rich with the smells of blood and meat.
So, GRRM likes to describe blood as "steaming". I had a look at the scene where Jon is stabbed and confirmed that his blood is described as smoking. From Dance with Dragons:
He punched Jon in the belly. When he pulled his hand away, the dagger stayed where he had buried it. Jon fell to his knees. He found the dagger's hilt and wrenched it free. In the cold night air, the wound was smoking. "Ghost," he whispered.
Alternatively, Jon Snow's piss does steam. This was taken from Clash of Kings:
A few yards away he made water into a frozen bush, his piss steaming in the cold air and melting the ice wherever it fell.
:]
I also skimmed through all of the books, searching for descriptions of smoking blood. I actually just looked for every word containing "smok", so that I'd get all of the "smoked", "smoky", "smokily" and "smokings". The result? GRRM uses the word "smoke" a lot thoughout all five books, so much that I was starting to forget the meaning of the word. Blood is only ever described as smoking on a few occasions. As follows...
When Sandor Clegane kills Oberyn in Storm of Swords:
As he drew back his huge fist, the blood on his gauntlet seemed to smoke in the cold dawn air.
Oh dear...the theory has been dismantled. But to be specific, the blood on Sandor's fist is described as seeming to smoke. There are only two occasions wherein blood is described as actually smoking. One such instance is of course, when Jon is stabbed, and the other also comes from Dance with Dragons.
Drogon is attacked in the fighting arena:
His spear remained in Drogon's back, wobbling as the dragon beat his wings. Smoke rose from the wound.
When Dany is in the fighting arena with Drogon:
His head turned. Smoke rose between his teeth. His blood was smoking too, where it dripped upon the ground.
In the same scene, after she "tames" him:
Black blood was flowing from the wound where the spear had pierced him, smoking where it dripped onto the scorched sands. He is fire made flesh, she thought, and so am I.
Drogon takes flight:
The dragon twisted violently in the air, wounds smoking, the girl clinging to his back.
If we want to be all-inclusive here, when Sam kills a wight who used to be known as Paul, the wight's blood does smoke, but it is a result of the dragonglass used to kill Paul. As for instances when blood is described as most-definitely-smoking, and not "appearing" to smoke, there are only two.
1. Jon's blood smokes
2. Drogon's blood smokes
Sandor Clegane's blood only appears to smoke.
Wight blood only smokes when they are stabbed with dragonglass.
So you tell me...is this some sort of evidence that Jon is a Targaryen?
EDIT:
By the way, the Prince that was Promised will be born amidst salt and smoke. Jon snow's blood is smoking, Bowen Marsh is crying...hmmmm?
EDIT EDIT: If Jon was born from Lyanna and Rhaegar, his would be a song of ice (Starks) and fire (Targaryens). Tah dahhhh...if...only if...