Rules FAQ

If you OWN a unique card in play, regardless of who controls it, you cannot marshal/play/put into play/take control of another copy of that card - except as a duplicate (if you own & control all instances).

Euron's reaction triggers after Pillage, which occurs in step K (keywords) of the DUCk acronym. So any location discarded by intrigue claim during step C (claim) will be in the discard pile and before Euron's reaction.

If you steal a Kingsroad, then discard it during the next Marshaling phase, the Kingsroad will return to its owner's discard pile so you can steal it over and over.