If an effect like Valar Morghulis kills Winged Knight and a Lord or Lady character at the same time, neither character will end up in the dead pile if Winged Knight is triggered. Winged Knight will end up in the discard pile, while the other character will be removed from the game.
Unlike Lysa Arryn, Winged Knight does not directly remove the character from the game. It is a replacement effect that changes how the original kill effect resolves. When the character would be placed in the dead pile, it is removed from the game instead. You can still trigger other interrupts before the kill effect resolves (for instance, Shireen Baratheon (Core)), as well as reactions to that character being killed (for instance, Funeral Pyre).
You can trigger Winged Knight on an opponent’s character if you want to keep it out of the dead pile for some reason (for instance, to avoid Craster putting it back into play).