Aegon the Unworthy and Young stormlord - OK, maybe the candle thing proves nothing by itself, but - it's just a little hint, there are many others!
Ok, the my theory goes like that:
1. Princess Elia fears for her children lives (while Robert's rebelion) and replaces her own babe with some other poor child, while sending (in secret) Aegon to her family in Dorne, to be precise, to Viper (who was very close to Elia and surely knows how to keep a secret).
2. Aegon is raised with Viper's daughters (not as his own son or
god help me DAUGHTER). Aegon and Sarella grew up together, they were close friends (maybe she even knew the secret though I doubt anyone knew besides Viper), luckily - the boy had the dornish looks of his mother.
3. When Viper feels the time has come (rumors about the dragons and Dany) he sends Aegon to the Citadel and goes to Kings Landing (for vengeance). Why does he chose Citadel for Aegon? He has friends there (Marwyn?) and Aegon will be safe there. To make sure, he hires a Faceless Man (Jaqen) to protect Aegon while he is there. (I guess that Jaqen had to reach Citadel earlier, but he was delayed at Kings Landing ..)
4. When Aegon forges his first link, he becomes an acolyte, and he should say his vows. So he spends the night with the candle, like any other acolyte, but in his case the candle burns. Look, we do not know that, but it looks like a nice (small) part of the theory so far, ok?
5. Where is Sarella meanwhile? Well, she can be anywhere, but if they grew up together, they must be close, so I guess "her little game" has something to do with Aegon/Alleras.
6. Have a look at Aegon's friends (court?) at the Citadel. He has the Archmaester Marwyn the Mage, the Faceless Man, and Sam (who came from Aemon Targaryen, bringing valuable information about Dany and the dragons). So Aegon waits for something, and gets ready meanwhile.
That's my theory. You are not convinced? Fine, then please tell another theory that explains the "Dragon has three heads" prophecy, the "Sphinx is the riddle", the dragonglass candle, the Faceless Man at the Citadel, and try to fit there Alleras=Sarella which you believe is true