I definitely think the Dragon is Lily’s father. Timeline adds up…he lost a daughter “a long time ago”, came to our world to find her before Regina cast the curse, and was around in our world for 28 years (since he met August and Tamara when Emma rolled into Storybrooke). The SA could have very well told him of the events that took place.
We only need to know the Price he paid, and the story behind how Lily got the moon-shaped necklace from her father.