The more I think about it, the more the spy theory makes sense - even if it's not Missandei (and I still think it is).
Think about the attack on Yara's ship...
Euron promised Cersei that he would return with a gift so valuable that she'd accept his offer of marriage. Everyone thought he was just a bullshit artist, until the events of episode 2 unfolded.
Euron specifically targeted Yara's ship, with the primary objective of capturing Ellaria & her Sand Snake daughter. They were the gift that he promised Cersei, implying that he knew he'd be able to capture them - before he left Kings Landing, and before they left Dragonstone. Everyone else on the ship was killed, other than Yara, Ellaria, the Sand Snake, and Theon (who only survived by reverting to Reek and jumping overboard). The other sand snakes were killed, but Ellaria & daughter were taken alive.
It's plausible that he could have predicted them sailing to Dorne, and the route they were taking - and thus the intercept is plausible without the existence of a spy. However, he's not going to make a big bold promise to Cersei if he doesn't know for certain that he's going to be able to keep it. This is what makes the spy theory far more likely than not.