S5E4, Sons of the Harpy. Sansa lights a candle for Lyanna and thats when her and LF talk about what Rhaegar did. I agree it's thin, but there really are no other clues to Jon's parentage, and obviously everyone who watches the show is going to assume there is some sort of secret about Jon's parents. In the books there are multiple rumors about Jon's possible mother, but in the show there is nothing.
A lot of the same assumptions about the R+L theory still fit just fine in the show too. Ned wasn't the type to cheat on his wife, and if he had cheated on his wife, why would he refuse to tell her who the mother was? Catelyn wasn't the type to go avenge herself on some random tavern wench. It logically follows that Jon wasn't Ned's son. For Ned to be willing to dishonor his wife by claiming Jon as a bastard, it would have to be for someone very important to him, which is a very short list that Lyanna would be at the top of. For Ned to refuse to let Catelyn in on the secret, the knowledge of Jon's true parentage would have to be so dangerous that just knowing it would put her in mortal danger, which is a very short list that Rhaegar would be at the top of.
It's absolutely possible to come to the R+L theory based solely on what you've seen in the show after the talk between LF and Sansa. It's just even thinner there than it is in the books.
*edit*
The Sand Snakes don't have shit to offer Bronn to turn him against Jaime. They have no real resources aside from whatever Oberyn might have left them. The only person with the resources to turn Bronn against Jaime would Doran, or maybe Prince Trystane, both of whom want Myrcella very much alive and unharmed. He didn't really betray Tyrion, he just wasn't willing to fight the Mountain for him.