She didn’t tell Tyrion about Jon because she wants him on the throne. She wants Northern independence and Jon in the North with her. However, despite what she wants, she was still going to respect Jon’s right to do what he wants.
When the scene begins, Sansa is watching Dany. Her expression is explained in her first words, “Why her?” I believe Sansa is still feeling jealous and hurt. Jon’s leaving them, leaving her, again for this woman. She’s accepted his choice, even though it hurts, but still wants reassurance that Dany will be good for him.
When Tyrion reminds Sansa that Jon will likely not be spending much time in the North anymore he is trying to point out that she will be in power. But Sansa responds with “Well, I suppose that’s up to him.” Again, she’s affirming his choice, even though her tone and expression reveal she doesn’t like it.
Tyrion says he would feel a lot better leaving knowing Sansa and Dany are allies. Sansa picks up on his concern. It is personal concern, for Sansa, something she’s experienced before when he tries to get her to eat after Robb and Catelyn are murdered.
Still, she doesn’t understand why. As she asks, she mentions Dany still has Jon, the armies, and the dragons. Everything she wants. And the irritation is still clear. It’s happening, she doesn’t like it, but what’s the problem?
Then Tyrion warns Sansa not to provoke Dany. It is a deeply personal warning.
She senses his fear and calls him out on it. “You’re afraid of her.” Sansa has seen Tyrion antagonize Joffrey without fear. She’s seen him refuse to kneel for Joffrey at his wedding, knowing full well what Joffrey was capable of. If Tyrion is afraid of Dany, someone he is supposed to be in close partnership with, it is serious.
Sansa’s expression shows that her emotions shift instantly from sad and frustrated to terrified. She knows who Jon is, and she knows Dany knows it, too. She also knows Dany didn’t want Jon to tell anyone. In this moment, everything is clicking for her. Jon is afraid of Dany, too. That’s why he acted the way he did in the war council. That’s why he made her and Arya swear they wouldn’t tell anyone. It wasn’t because Jon didn’t want the throne, or because he didn’t want to end his relationship. It was because Jon is terrified of what Dany might do.
She is practically trembling, tearing up. She’s no longer worried about not seeing Jon anymore, she’s worried about him being murdered. She’s seen enough of her family murdered for having the wrong information or the wrong title in the eyes of a tyrant. She knows there is no scenario where Dany is going to just trust Jon to not usurp her. In this moment, she knows Jon is in serious danger.
Then, Sansa stares at Dany again. This time it isn’t fear. This time it’s anger, and the memory of all those who’ve harmed her family before. Perhaps even Littlefinger’s words come into her mind. “Terrible things happen to your family and you weep.” Not this time. This time she will do whatever it takes to protect him.
Tyrion said it himself. “Many people underestimated you. Most of them are dead now.” Watch out, Dany. The Red Wolf is coming for you.
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