The Targs have practiced polygamy in the past, so there is a possibility that Rhegar and Lyanna were married in which cases Jons claim as the only surviving true born son of Rhegar his claim would be better than Dany's.
It is Roose stood on the top of the Twins in season 3 I can't pinpoint when but I did find this (scroll down)
http://www.artofvfx.com/?p=4915
Edit. It is episode ten
https://www.youtube.com/watch?v=3gVeyg9x_c0