Short version: Urine Greyjoy ambushes Dany's fleet and shoots down Rhaegal, in the confusion Missandei gets captured. When Dany reaches Kings' Landing to at least give Cersei a chance to surrender (or at least appear to give her a chance before they take Kings' Landing by force), Cersei responds by parading Missandei and demanding Dany's unconditional surrender. That obviously won't happen, so Cersei asks her to say her final words, she looks at Dany and says "Dracarys", and then the Mountain cuts her head off.

It's... not the best look for anyone involved. But at least her final word is the one that set her free all those years ago?