We know that Aegon isn’t exactly the marrying type. He isn’t even king material, though he agrees to take the throne. But in an earlier Season 1 episode, where young Aegon and Aemond discuss the former marrying their sister Helaena, Aegon is less than thrilled with the idea.
Aemond, on the other hand, almost seems like he has a crush on her. And, according to this theory, that crush could have turned into something more once they all grew up.
Source: https://www.distractify.com/p/is-aemond-father-of-helaena-kids-house-of-the-dragon