Here’s why:
1. Aegon and Co. are already looking for an alliance with Dorne; hence Jon Connington’s letter to Doran Martell.
2. It’s not clear that the Martells will ally without a marriage. As Doran says “he comes with sellswords, but no dragons…where are the dragons?” Aegon’s going to need to offer something to get Arianne to commit.
3. Arianne’s two chapters in TWOW so far released are all about Arianne going to visit Aegon in the name of Dorne, with the power to release Dorne’s armies if she sends the right word. Why spend the time if you don’t pull the trigger?
4. I think Aegon is going to offer Dany a marriage in addition, trying to replicate the whole Aegon-Visenya-Rhaenys thing. Dany’s not going to go for that.
5. I don’t think no one will steal a dragon, I just don’t think they will succeed long-term. I don’t think the 2nd Dance will be a long war, I think it will be a very short and very very violent conflict. But remember, this is only one intermediate step in Dany’s story – the real climax awaits Dany up North.