Rules FAQ
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You can trigger Aegon even when a non-loyal character enters play under an opponent's control.
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If the character that enters play is immediately removed from play (for instance, by Ser Jaime Lannister (BtB)), the triggering condition for Aegon still happened, so you can still stand him.
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If Aegon enters play during the challenges phase and is knelt by Last Hearth Scouts, he can react to himself entering play and stand himself again.
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If you play In Daznak's Pit, the "limit twice per phase" count starts again for the new challenges phase.