|Book(s)||A Dance with Dragons|
Jon wears his worldly wealth upon his person and a lord’s ransom in golden arm rings. Each ring signifies one year's service with the Golden Company.
Jon is a Westerosi exile. His surname Lothston was a house that once loomed large in the histories of the Seven Kingdoms. He may or may not be of House Lothston, as in the free companies a man can call himself whatever he chooses. 
A Dance with Dragons
During his rendezvous with the Golden Company three miles south of Volon Therys, Jon Connington reveals that Young Griff is in fact Prince Aegon Targaryen. Silence greets his announcement. He notices Jon Lothston and Marq Mandrake exchange a glance. Jon Connington realizes they already know.
Jon Lothston, like the rest of the company, swears his allegiance to Aegon before they invade Westeros.