This is a common misconception. Melisandre is “of” Asshai but she was not born in Asshai, because “there are no children in Asshai.” Rather, Melisandre was sold into slavery in Asshai:
“The red priestess shuddered. Blood trickled down her thigh, black and smoking. The fire was inside her, an agony, an ecstasy, filling her, searing her, transforming her. Shimmers of heat traced patterns on her skin, insistent as a lover’s hand. Strange voices called to her from days long past. “Melony,” she heard a woman cry. A man’s voice called, “Lot Seven.” She was weeping, and her tears were flame. And still she drank it in…
Dawn. Another day is given us, R’hllor be praised. The terrors of the night recede. Melisandre had spent the night in her chair by the fire, as she often did. With Stannis gone, her bed saw little use. She had no time for sleep, with the weight of the world upon her shoulders. And she feared to dream. Sleep is a little death, dreams the whisperings of the Other, who would drag us all into his eternal night. She would sooner sit bathed in the ruddy glow of her red lord’s blessed flames, her cheeks flushed by the wash of heat as if by a lover’s kisses. Some nights she drowsed, but never for more than an hour. One day, Melisandre prayed, she would not sleep at all. One day she would be free of dreams. Melony, she thought. Lot Seven.”
Moreover, we have no idea what ethnicity the Asshai are, since “those who walk the streets of Asshai are masked and veiled.” So I think people are being far too conventional by assuming that any real world ethnicity applies to the Asshai, or humanity for that matter.
Finally, why white should be assumed as the default for Melisandre, I don’t know – she was a slave in Essos, so she could be from as far west as Lys to as far east as Qarth, I suppose. We know she has pale skin, but that’s it. And she speaks with a distinctively Eastern accent, so there’s that.
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