Bran is also not an idiot. He sees his aunt at the end of the war with a baby and see his father about to take that baby. He knows Jon came home with his father after the war. He is smart enough to connect the dots to Jon Snow. The look of shock can just as much be about “oh shit so ... Jon’s a Targaryen” as anything.

Why would Bran have the look of shock on his face that he does if it’s a name he’s never heard before? He clearly recognizes the name immediately and it is a shocking revelation to him.