Theories
Mysaria’s threat to Otto is a foreshadowing of the Storming of the Dragonpit

Game of Thrones prequel House of The Dragon has had a number of prophecies so far. A lot of them have come to pass, and there’s another that has recently come to light in episode 9. Alicent and Otto are both trying to sway the unwilling Aegon to be the kind of ruler they want him to be. He’s later found out to be hidden in Mysaria’s care, but before that she foreshadowed a crucial event that’ll deal a heavy blow to the Targaryens in the coming seasons.
Mysaria has risen in power quite significantly from her whorehouse days. She now has spies and lowborn assassins working for her, and has ears everywhere in King’s Landing. When she meets Otto to make a deal with him about the knowledge of Aegon’s whereabouts, she delivers a veiled threat, that’ll come to pass in an important event in the Dance of the Dragons.

Storming of the Dragonpit by Douglas Wheatley
Mysaria mentions how the Lords and the Ladies of Westeros are nothing without the smallfolk, and how easy it would be for her to have Aegon killed. Though Aegon would not be killed until very late in the series, it is a direct reference to Storming of the Dragonpits, which showed how the noble families in King’s Landing are at the mercy of the common folk.
After the suicide of Helaena Targaryen, Queen Rhaenyra was forced to flee King’s Landing. The events that transpired amidst her fleeing with her remaining children saw the small folks in flee bottom rise against the nobility and cause riots. During the riots, a crazed mob, urged on by a mysterious individual known as the Shepherd, forced their way into the Dragonpit atop the Hill of Rhaenys and slew the four dragons housed within, as well as the Rhaenyra’s dragon, Syrax.
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