Oh because he is half Targaryen. Duh. I hadn't considered that.
I do think it would be a bit of a lame move for them to be like "OH WOW JON SURVIVED A DRAGON BLAST oh wait they just stabbed him yawn".
I mean, I can't think that Dany sits there thinking that she is even going to be able to roast Jon in the first place- she knows he's a Targ, and trying to burn him just confirms he's a Targ and gives his claim more credence than "Sam and Bran say he's a Targ."
Yeah but these are the same people that sent Winterfell's women and children down to the crypts.
Also Jon's not immune to fire. He burned his hand in the first season/book.
...but then these are the same writers that sent Winterfell's women and children down to the crypts... "Dragons are different!"
Ok cool that was the sort of thing I was trying to think back to but couldn't remember. ---
Moops? "I thought you were making up diseases? That's spontaneous dental hydroplosion."