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Rhaenyra Targaryen is the younger sister of Rhaegar and Viserys Targaryen. Eight at the time of Robert's Rebellion, Rhaegar had his sister promise to look after his new bride with whom she'd come to like with an egg-like stone for a parting gift he hid them away in the Tower of Joy, telling Lyanna to look after Rhaenyra for Rhaegar,
Saying that it was dangerous for her to be in King's Landing, Lyanna knowing about the war, promised to look after the young girl, even though it was actually going to be the other way around in Rhaenyra's eyes. Though when everything changed, Rhaenyra found herself being taken in by Ned Stark,
Then being charted away to Winterfell, promising to keep her new baby Nephew's true parentage a secret so he may live in as much peace as he could, even with the new name he would bare as Ned Stark's bastard son. Though the same would not be said for Rhaenyra, as she is a known Targaryen,
It was impossible for her to remain secret forever, eventually, someone would let the news slip that a dragon lived with the wolves and assassins would be sent for her head.