Aegon's coronation on the show actually takes place in the Dragonpit as it did in the books, the Great Sept of Baelor not yet having been built (it would be built by one of Rhaenyra's grandsons). That means Rhaenys, upon seeing that the goldcloaks were sweeping up crowds to attend, let herself be herded away from her Kingsguard escort into the Dragonpit and then she used her knowledge of the premises to get access to her dragon. With the main entry/exit presumably being closed as part of the security measures, she goes up through the floor into the room where the coronation is taking place, because the door the crowd came in by, is her only way out. It is worth noting that she is the oldest living dragonrider, and was born and raised in Kingslanding, so if anyone would know the layout and how to get in and out when the Hightowers are locking the place down, it would be she.

With the point in mind that she did not come to the coronation to terrorize the royal party, and that they were simply present when she dug her way out via Meleys, it puts the final confrontation in a new light. She is returning Alicent's mercy and apparent willingness to talk instead of fight, and is avoiding being the one to kick off the massacres and murders. Although she knows that Lord Caswell was hanged, she can't be sure why. He did, after all, swear and then try to run, so that could be a case of oathbreaking, rather than a wholesale massacre of Rhaenyra's supporters. The notion that she should have wiped out the Green leadership right then and there is purely presentist thinking, based on foreknowledge of what is to come, and not something Rhaenys can be expected to be thinking in her circumstances.