Though we're only five episodes into this season of Game of Thrones, the show's wasting absolutely no time and answering some of the burning questions we've had about characters since season one.
Yesterday's episode focused largely on everyone deciding on whether to believe the increasingly widespread word that an army of the dead are marching towards the Wall on their way to invade the seven kingdoms. While Daenerys, Tyrion and Jon are all well aware of the impending threat, others such as the Lannisters in King's Landing and the maesters in the Oldtown Citadel are less willing to believe that the Night King is on his way to murder them all.
Though Samwell tries to impress upon his superiors that the warning they have received from Winterfell about the white walkers is very correct, they're loathe to listen to him, leading to Samwell venting his frustrations to Gilly. Towards the end of the episode when Samwell's considering whether to leave the Citadel, we see that Gilly's taken a shine to reading through the vast collection of books at her disposal. While making her way through a book detailing things about High Septon Maynard, Gilly asks Samwell what an annulment is after reading the word in a sentence:
Maynard says here that he issued an annulment for a Prince Rhaegar and remarried him to someone else at the same time in a secret ceremony in Dorne.
Neither Gilly nor Samwell realise the gravity of that sentence and their conversation quickly moves on, but we, the audience, have way more information than they do. Last season, we saw Bran learn what went down at the Tower of Joy in the moments leading up to Lyanna Stark's death. After killing the Targaryen kings guard in Dorne, a much younger Ned Stark rushes to his dying sister just after she'd given birth to her son whose identity she asked that Ned keep secret.
While we knew that Rhaegar Targaryen had been married to Princess Ellia Martell due to there being no suitable Targaryen women for him to marry, we didn't know that their marriage was annulled in Dorne and that Rhaegar had taken another wife.
Up until this point, common knowledge was that Rhaegar had simply kidnapped Lyanna, triggering Robert's Rebellion, but Gilly's revelation suggests that the two might have been in love before going on to have a child together. If Jon Snow is, in fact, Rhaegar Targaryen's son, then that would ultimately mean that he's the rightful heir to the Iron Throne as well as the North in addition to being Daenerys' nephew.
Earlier in the episode, after Daenerys returns to Dragonstone after having obliterated those poor Lannisters, Drogon actually approaches and allows Jon to touch him before looking back knowingly at Daenerys. While it isn't exactly confirmation that Jon's a secret Targaryen, it's pretty damn clear that the dragon knows something about Jon that we don't quite yet.
This could all be a huge misdirect, sure, but it's definitely starting to look like everyone's assumptions about Jon Snow were very, very accurate.