I know it's ridiculous, but I noticed new possible evidence today that I've never read before. Euron, in AFFC, tells Victarion that he had a dragon egg, but he threw it in the ocean. Perhaps that's how Illyrio acquired one of the three.
Thoughts on this and the theory in general?
Either way, I can't help but feel like the Drowned God will become much more important. There are several hints towards Krakens and Mermen and just word emphasis in general. In a Sam chapter, after he has sex with Gilly, she says, "... but there are no trees here. Only water, Sam. Only water."