So, today I was playing with a Targaryen deck, and had a Drogon with two Black Hatchling attached as duplicates. At some point in the game the other player played a card that killed Drogon and could not be saved… I know I can't discard any of the black hatchling to save Drogon, because he was killed with a "cannot be saved" card, and if the duplicates were Drogons they would be discarded.

However, after I kill Drogon, the other cards are not Drogon thus they were not affected by the card that killed him, so should the Black Hatchlings be discarded as if they were Drogons or they remain in game because, after all, they are a different character that was not killed.

And if they were to be discarded, could I send them to the shadows as a response before killing Drogon and pull them out of the shadows at any other point during the game?

Thanks!

Once a card is attached as a duplicate, it loses all titles, text, and traits (core rules p. 19). So the duplicates would be put into the discard pile no matter what they are if the card they are attached to leaves play for whatever reason.