Option #2: Tyrion is worried for personal reasons
As Joanna Robinson points out in a piece for Vanity Fair, the outline that George R.R. Martin sent to his publisher way back in 1993 could hold clues for where the story ends up. The series has already significantly diverged from Martin’s original plan, but it’s possible that some of the seeds he planted will eventually pop up.
Among those earlier proposed storylines was one of a love triangle between Jon, Arya, and Tyrion. Obviously the Jon and Arya thing didn’t play out, with Jon instead having an incestuous affair with his aunt, Daenerys (at least on the show). But could the Tyrion love triangle remain?
As Cersei reminds us, Dany is Tyrion’s type. "I shouldn’t be surprised, I suppose, she’s your kind of woman," Cersei scowls at him in their meeting. "A foreign whore who doesn’t know her place."
Personality-wise, Daenerys is nothing like Shae, the woman who betrayed Tyrion for his father’s money, and whom he eventually murdered. But both spent much of their lives in Essos, and both had a strong sense of self-worth.
Is Cersei right, and is Tyrion falling for the woman he’s supposed to counsel? Anything is possible in the show’s final season, set to arrive sometime in late 2018.