That makes more sense with regards to Arya's character and the fact that she said she didn't ever plan to come back from the mission she's currently on. However, the mission she's on seems to be the one she's been on this whole time: She just wants to kill Cersei. It's not in Arya's nature to get sidetracked by other quests. She has two names on her kill list and it's Cersei and Cersei's bodyguard. They're both in King's Landing, and that's where Arya was headed in episode 4. As far as Arya knows, Dany was last headed to Dragonstone. If Arya was going to kill Dany, she wouldn't be heading to King's Landing.