There are multiple short-story anthologies that have ASOIAF stories in them. I know you said in a comment that you're reading the Dunk and Egg stuff, but I've included all of them below for others who might not already know about them.
All these take place in the world of ASOIAF and contain details and plot info that are frequently used in the theories here on reddit. It's definitely canon and some of it will probably end up being quite relevant in the end.
Legends contains The Hedge Knight - Dunk and Egg meet and have adventures
Legends II contains The Sworn Sword - Dunk and Egg continue to have adventures
Warriors contains The Mystery Knight - Dunk and Egg have still more adventures
Rogues contains The Rogue Prince - Archmaester Gyldayn's account of the events leading up to the Dance of the Dragons (the war, not book 5)
Dangerous Women contains The Princess and the Queen - Archmaester Gyldayn's account of the Dance of the Dragons
They all have great reviews, but I've only read the GRRM stuff in each one. The Dunk and Egg novellas are very similar to the rest of his novels, whereas the ones from Archmaester Gyldayn are written more as historical accounts (like WOIAF). They're still entertaining, but not as much as the Dunk and Egg stuff.
Note: GRRM also has a book called The Ice Dragon which does not have anything to do with ASOIAF. I haven't read it, but FYI.
Edit: Changed the order and added plot details
The anthologies aren't random - he edited them.
The anthologies aren't expensive:
Legends containing The Hedge Knight for $7.99
Legends II containing The Sworn Sword for $7.99
Warriors containing The Mystery Knight for $8.89
Also, they're full of short stories from other great authors.
If you're willing to pay $7.00 for the graphic novel, why would you complain about shelling out an extra $0.99 for text with bonus stories? Digital piracy is not paying the iron price. It's more like the Sorefoot King price - stumbling along whining about what you're entitled to but haven't earned.
Edit - Corrected "Heroes" to "Warriors", "print" to "text", and added links to Amazon for the Kindle versions
You have to buy the digital editions of the anthologies they appear in.