Greyworm is used to Dany being wildly mercurial - again just go back to the story in MereenI get you.
However, it it would have been mad weird for her to do it right after she won and immediately after Jon came to see here.... and especially after the run-in that Grey Worm and Jon had just had where he was clearly mad af.
and Jon's dagger would have been missing. Man.....no one Jon gets out of that with a "I don't know where Dany is... I'll send yall a raven if I find her... 5000 g"
And Jon missing his dagger "My queen asked for it and I gave it to her- then she flew away"
I think the real thing would be explaining why Dany would ask drogon to melt the throne
