Quoted from markmon:
And you can. Not a bug. I use to have this problem with old code but it went away at like 1.15 or something
It's still there in 1.22. You certainly can finish Targ as Greyjoy, but you can also end up in a situation where you can't. Believe I read somewhere the bug is triggered by hitting the dragon shot in Targ 3 before you are able to finish the mode. Apparently hitting it spots one of the other lit shots, so I'm guessing what happens if you only have one lit shot and hit the dragon is it spots that shot but then doesn't light any new ones and you end up stuck in targ purgatory.
Had this happen to me recently - played two BWMs with nothing else to do before draining. Next ball restarted targ hoping I'd be able to finish the mode but, nope, still no shots lit. Finished with 5.9b despite this nonsense. Can only imagine what I would have gotten without this bug and able to start iron throne.