We dont know for certain that Jon has been killed, only that he appears to have been. Its a well established rule on TV that if you dont see someone definitely die, 100%, chances are its because theyre still alive. Yes, Jon is stabbed repeatedly, but that doesnt automatically mean the wounds he suffers are fatal. He may have been wearing some sort of mail under his shirt, so hed have been at least a little protected from some of the blows, and depending on what specific areas the knife hit then while hell be needing some urgent attention, he isnt necessarily dead. The scene as it take place in the books plays out with Jon seemingly being stabbed four times, with varying degrees of seriousness. The first grazes his neck, the second is in his stomach, and the third between the shoulder blades. As for the last one: Jon never felt the fourth knife. All he felt was the cold Theres a few meanings that can be taken from this (more on a couple of those later), but one is that it signifies that the fourth knife never actually reached Jon, because something prevented it, meaning that while he could be unconscious or in a coma, he has survived because such wounds are unlikely to be fatal. The TV show obviously goes to lengths to make it less ambiguous, having him repeatedly stabbed in the stomach - with no glancing blows - and he lays dying in a pool of his own blood, eyes glazed over. It seems a nailed on certainty that hes dead, but you never know.