I don't know if many show fans are all that aware of the Targaryen history. But then the whole theme has been ongoing throughout the series when you consider Jaime and Cersei Lannister. But considering the personalities of both Dany and Jon? And the desire for the Iron Throne? Those things will complicate matters.
It was brought up in an episode in Season 5. Ellearia Sand was talking with Jamie Lannister about his relationship with Cersei. She said it wouldn't be an issue if their last name was Targaryen.
I don't doubt that it was brought up. But the prose of the novels and the extended passages of exposition really gave the readers a lot more insight into the inter-marriage of the Targaryens than we've seen in the show. Because if the show got into the details the way the books did, everything would come to a screeching halt.
The historical parallels are worth noting. Even in the inter-marriages of the royal houses of Europe in the 19th and early 20th century. People may not realize that Britain's King George V, Kaiser Wilhelm of Germany and Czar Nicholas Romanov were all cousins. And more recently in the UK? Prince Charles and Princess Diana were actually distant cousins (7th or so). It's not something that's foreign to people, but it's still considered to be generally taboo.
For the purposes of the show? It further complicates the relationship between the twin siblings, Jaime and Cersei, as well as between the aunt and nephew in Dany and Jon.
As for next week's episode? It looks like it's going to be epic. But can anyone else see a key feature of Winterfell that goes all the way back to the pilot coming into play in a way that the alliance may not have foreseen? One particular place in Winterfell might not be the best place to hide...