“At the end of the phase” effects are delayed effects that initiate (and resolve) in an order decided by the first player - regardless of the order the effects that created them were played. In the case of Hear Me Roar and Tears of Lys, the FP would decide whether that Unique Lannister wound up in the dead pile, or the discard pile. After this, reactions to the phase ending (or to that poor, poisoned character dying) proceed in the usual order.
In order to play Hear Me Roar, you check play restrictions, pay costs and choose the target (revealing it) before your opponent decides whether or not to cancel the initiation. This is detailed on page 10 of the RRG under "Initiating Abilities".