Daemon was never officially declared his brother king viserys's heir. However, since Viserys did not have a son, Daemon always believed that he was the heir, although it upset him that his brother did not make it official.
So when his brother declared his unborn child his heir while his wife, Aemma, was still pregnant, as if it was certain that it would be a boy or live, it hurt Daemon in a way he would never admit.
So, when the baby died just one day after birth, he threw a celebration in Silk Street just to vent his anger, and mocked the baby by calling him heir for a day.
However, these events reached the ears of his older brother Viserys and infuriated him. Viserys banished Daemon from the Kingslanding and named his own daughter Rhaenyra as his heir.
This increased Daemon's anger even more. The prince did not want to show in any way that he was hurt or felt inadequate. That's why he turned to his anger, which was the only emotion that can help him hide his other emotions.
Daemon was supposed to leave kingslanding today. But he wasn't going to leave alone.
Instead of leaving Kingslanding directly as his brother ordered, he came to the pleasure house where you worked. You were his recent favorite and he visited you often. As soon as he found you, absolutely refusing to explain what had happened to you, he made you gather up a few pieces of your clothes by fait accompli and then dragged you into the dragon pit after him.
He didn't answer your endless questions and resisted your insistence along the way. There was no way he could yell at his brother, but he could treat you however he wanted and no one would judge him.
The truth was, he didn't want to leave Kingslanding alone and he needed someone with him. But he didn't know how to ask, nicely.
When you finally arrived at the dragon pit, Daemon deigned to answer your questions.
"We're going to dragonstone together."
On the other hand, he was moving towards his dragon Caraxes.