I just started playing the game and have lots of doubts… like:

If I lose a military challenge with the plot card The Power of Blood and I have Tywin Lannister (lord), and I defend with him a military attack, can I choose Tywin to be dead so he's not in the end because of the plot card?

thanks in advanced

No. "Cannot be killed" literally means that: he cannot be killed. Since losing a military challenge requires you to kill a character (if able), you have to kill one of the characters that can actually die.

Effectively, Tywin is not be eligible to die for military claim in that situation - but that doesn't let all of your other characters who ARE eligible "hide" behind him.