Just want to check that I got this right:

Two players revealed Valaar - one of the player is running Greyjoy with the agenda to draw cards after a character is saved

We did the first VM, some people were killed, some killed and saved and some killed, saved and then cancelled

I insisted that the second VM was then executed before responses to the first, such as drawing cards for the saves that occurred

Pretty sure this is all correct but haven't really been faced with the same situation, where the point in time that the cards are drawn was pretty critical

thanks

That's correct. The When revealed effects (the valars) are resolved first, including any save/cancels (for each valar separately), followed by passives to everything that happened previously (like Bay of Ice), followed by Responses to everything that happened previously (like Aeron's response to saves).