The story (I say story because many think Aegon is fake) of the scheme that saved Rhaegar's son in order put him on the throne in the future revolves around only a handful of people.
The only person definitely involved in any escape was Elia. A baby could not be taken from his mother without her knowledge. My guess is that Rhaegar and Ashara were involved as well. I doubt Elia told Oberyn. If he'd known, he probably would have pushed for a war. Varys might have not been included in the plan, but I'm sure he knew about it. If he was against Rhaegar, he could have exposed the whole thing to Aerys II. Even if he was not involved, he could have kept tabs on Aegon's locale and/or passed the info to Illyrio.
Even if Aegon died at Gregor's hands, Illyrio and Varys would have told fake Aegon a similar tale.
Only a few people knew of Aegon's upbringing... Illyrio, Varys, and Connington. Connington was rumored to have drank himself to death within a few years of his exile. That suggests to me that he was contacted soon after Robert's coronation and quickly included in Illyrio's plan.
Now whether Illyrio gave the real Aegon or a fake Aegon to Connington, I dunno. But I'm convinced that Connington believes Aegon is real.
A few people know of Aegon's existence... Haldon, Duck, Lemore, Yandry, and Ysilla. But only Illyrio (mayhaps Varys) knows the truth of Aegon.
A-roc, I dunno about Illyrio, Varys, and Serra all being siblings. The only independent source of info on Vays is Illyrio and vice-versa. Hey, I love Targ conspiracy theories! But unlike Tyrion (Cersei, Jaime, Sansa, Jon, Bran, and Catelyn all give us POV insight into his life while Varys, Oberyn, Shae, Pod, and Tywin all corroborate info on him), we get next to nothing at all for Varys. Pycelle and Robert confirm he served Aerys II. Arya's, Tyrion's, and Kevan's POVs confirm he knows the secrets of the Red Keep. Edwards, Tyrion's and Jaime's POVs show he is a master of disguise. But that is all. The rest we have to take on faith that he's telling the truth. Are we really to believe what a spymaster and his ally tell us about themselves?
I've not added anything new with this post. I'm just pointing out that it could all be lies.