So here's the scenario I'm a little confused about. If someone plays Valar and I discard the dupe from Shadows Jaqen but the dupe save is canceled, let's say by The Iron Throne, what happens to Jaqen? Does he die because the dupe save was canceled or does he return to shadows because the dupe is discarded?

An explanation would be greatly appreciated. Thanks!

Jaqen would be killed before he is returned to Shadows.

Returning Jaqen to Shadows when the dupe is discarded is a passive effect. If the save is canceled, the kill effect you are trying to save against must resolve completely before anything new initiates (other than cancel/save effects, of course), including passives. So Jaqen will die during the resolution of the kill before the "return to Shadows" passive has a chance to initiate.

Hope that makes sense.

Yes it does, thank you!