The Dragon has three heads
1. Dany
2. Jon (Son of Rhaegar and Lyanna)
3. Aegon (Rhaegar's son who is not dead as it is believed) also known as
Alleras the Sphinx. The clues about Aegon: When Dany enters The House of the Undying Ones, one of the prophecy sights was:
The man had her brother’s hair, but he was taller, and his eyes were a dark indigo rather than lilac. “Aegon,” he said to a woman nursing a newborn babe in a great wooden bed. “What better name for a king?”
“Will you make a song for him?” the woman asked.
“He has a song,” the man replied. “He is the prince that was promised, and his is the song of ice and fire.” He looked up when he said it and his eyes met Dany’s, and it seemed as if he saw her standing there beyond the door. “There must be one more,” he said, though whether he was speaking to her or the woman in the bed she could not say. “The dragon has three heads.”