In Daenerys' naivety, she believed that the smallfolk of Westeros were crying out for the return of the Targaryens, when in reality, they don't care. Jorah Mormont put it perfectly: "The common people pray for rain, healthy children, and a summer that never ends. It is no matter to them if the high lords play their game of thrones, so long as they are left in peace. They never are." The Dothraki presence in Westeros would've annihilated the smallfolk and in return, that could've sparked a tumultuous allegiance between all of the Houses. Starks, Lannisters, Tyrells. They all opposed the Mad King, so watching a descendant of his sweeping through the realm with a Dothraki horde would be alarming to say the least.