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Season 5 Spoiler alert!!!
In season 5 ending, the son of harpes revolted and attempted to assasinate Dany, luckily her dragon drogon came to her rescue, maybe it sensed her trouble, maybe its a coincidence, it doesn't really listen to her. David Benioff said that Dany and Drogon shares a deep connection and that Drogon can sense when Dany is in peril, But it didn't come when Dany was surrounded by Dothraki horde.