The documentary shows the building of the pit -- the biggest fighting pit in Meereen, which will be reopened in Season 5 to celebrate Daenery's wedding to Hizdahr zo Loraq. The crew spent 12 days shooting in the pit for one scene, which is likely where Jorah will fight, Dany will be caught in the chaos and her dragon, Drogon, will return. There was previously a leaked video from this scene where it appeared Drogon was burning a bunch of Unsullied. It's likely going to be one of the most epic, and brutal moments of the season.
As Vanity Fair speculated, one particular shot from the documentary may hint at Jorah's death. While he doesn't die in the published books, anything can happen on the show, especially since his being inside the pit isn't in the book either.