It wasn't that Aegon didn't want to capture it. He couldn't, because the defendants fought in a way Aegon could not use his dragons. They knew that they didn't stand a chance in open battle. They were using ambush techniques and were not hiding in castles like other kings did.
Whereas other kings and lords had taken to the field against Aegon, or clustered in castles, the Dornish refused to give open battle and allow Aegon to deploy his dragons. Instead, they turned to ambush and raids, striking quickly and then slipping back into the desert or through the mountain passes, where even the dragons could not find them. In time, Aegon pulled away from Dorne.
(A Dance with Dragons, Chapter 8, Tyrion & A Feast for Crows, Chapter 28, Cersei)