Are you suggesting conquering a Free City would be less provocative than skulking around doing adventurer things in disguise?
I'm talking about, say, flying into the Vale and browbeating the mountain clans into swearing fealty, and arranging for Yohn Royce to somehow claim credit for their sudden docility to put him in our debt; or teleporting Theon to the Iron Islands and diplomancing Harlaw into seeing things our way, possibly by dumping a bunch of Illithid heads on his table; or whatever, not actually going around introducing ourselves as Viserys Targaryen. Obviously we can't do that.
We made it through Volantis relatively low-key, even with as ballooned as that detour ended up becoming. And we would have made it into Mantarys just fine if you guys didn't vote to murder the gate guard for no reason. I hope we can chalk that one up to a learning experience and never do it again, right?
This is just me spitballing anyway, I'm sure when it gets to the point of an actual quest hook it will be more apparent how we're supposed to pull it off without giving the game away.
Yes, I'm clearly talking about walking around in public in our real appearance, declaring our true name from the rooftops.
Also, actually, you may have meant that as sarcasm, but yes; unverifiable rumors of us being somewhere, possibly in two different cities at once, is less provocative than us very publicly having a privately-owned battleship in disputed waters. Like, that's obviously true.