This page of our AC Valhalla Dawn of Ragnarok guide shows the locations of Heroic Sagas appearing in the Vangrinn region.
Gaefuleysi and Cursed Fairy
To get this item, you'll need a key. You can find it on one of the guards patrolling the area. Consider a stealthy approach so that an alarm isn't raised. Once you got it, approach the building, open the door and go upstairs. You should find the saga easily.
Gaefuleysi and Boring Fight
To get this item, you'll need a key. There are two ways you can proceed here - either progress in the main story enough to reach Pride of the Aesir story quest, or use Power of Jotunheim, and teleport inside the room
Once you got all the keys, go to the holding cells. One of them contains the saga - you need to open the door first.