Aegon had been under the watch of Lord Jon Connington, with his hair dyed blue to hide his telltale Targaryen hair. Tyrion Lannister later finds out about his true identity.
Given Aegon's parentage, in actuality, he has a better claim to the Iron Throne than any other character, even Daenerys Targaryen. However, this is all assuming that Aegon is who he claims to be, and not a pretender.
Aegon has been likened to historical figure Bonnie Prince Charlie (Charles Edward Stuart), who was a pretender to the throne of England, Scotland and Ireland. Like Aegon, Charles lived much of his life overseas, taking refuge in places such as Italy and The Isle of Skye. He later rose the second Jacobite Rebellion in 1745, which was crushed at Culloden field in the Scottish Highlands.