Nope, my first thought was Cersei as surely he knows what has happened in Kings Landing and now Daenerys kicked him to the curb he could be a knight again. It did occur to me after that it would be Daenerys but going to be interesting to find out where Jorahs loyalty now lies.
Thought it was an intresting episode too with the brewing battle between Cersei and Margaery.
It's not merely a question of loyalty. Remember that Jorah is in love with Daenerys. The relationship wasn't just a working one. Jorah actually loves her.
Therefore it seems logical that he will go to Daenerys.