In GoT Season 7 Episode 5 - Eastwatch, before Randyll Tarly
and his son are incinerated by Drogon,
he asks Tyrion why he is supporting a foreign invader.
The Targaryens were ruling Westeros from King's Landing hundreds of years before and the Baratheon dynasty is probably not more than 20 years old.
He actually seem to have fought on the Targaryen side, during Robert's Rebellion (something that the TV series doesn't show) but the Battle of Ashford is why he one of the great commanders in Westeros.
So why does he claim Dany to be a foreign invader when she is actually the daughter of the Mad King, Aerys II Targaryen?