With some luck, you can even turn them into genuine heroes. it's perfectly possible to have the two and others turn out to be relatively decent people. Through careful education, avoidance of the crueler decisions, etc. Alternatively, Aegon can forgo going after Westeros and attempt to forge a new empire in Essos but. He doesn't even have to lose Rhaenys and her dragon.
Thanks to the game's mechanics, it is very easy for Aegon the Conqueror to defeat Dorne, the one kingdom he couldn't bring down in canon.