Two Targaryen princes, Aegon the Younger and Viserys, were to be fostered by the Prince of Pentos near the start of the civil war. While carrying them to Pentos, the Gay Abandon met ninety warships of the Triarchy sailing from the Stepstones to the Gullet. Aegon managed to fly away atop his dragon, Stormcloud, but Viserys remaining behind. Viserys was eventually captured by a Tyroshi captain who brought him to Sharako Lohar, the Triarchy's admiral. Shortly thereafter the Battle of the Gullet took place.
Behind the Scenes
George R. R. Martin may have named the ship after the fact Prince Aegon abandoned his little brother and became deeply depressed for it.