Lots of reasons.  None of them stand on their own, it's more an overall connect-the-dots thing. The broad points are these. (1) Rhaegar foresaw that his son Aegon was TPtWP; (2) the Dragon has 3 heads [so other promising candidates need not suggest Rhaegar is wrong] (3) Varys says baby Aegon survived and was smuggled out of King's Landing; (4) Illyrio hints a female line of the Blackfyres may survive; (5) Doran's wife Mellario, a noblewoman from Norvos, spends most of her time in Norvos; (6) Nor