Why didn’t Aegon I blockade the Dornish from trade and starve them out, using a combination of the Redwyne fleet and maybe Iron Islands to block the ports and knights from the Stormlands and Reach for the mountain passes? I know this is expensive, but probably not as expensive as all those failed wars.

The Dornish aren’t reliant on trade for basic foodstuffs. Dorne “produces very good exports – exotic produce (olives, peppers, citrus fruits), wines, textiles (Dornish silks and satins), and fine horses,” and imports primarily fine manufactured goods, spices, and other luxuries from Essos. 

So that strategy wouldn’t be very effective. 

And keep in mind, at the time, Aegon was setting the country on fire from one end to the other, which would probably do more to starve them out than a blockade.