The Betrayal (Episode 1): The reveal that Soo-won, the kind cousin Yona loved, is the killer is the core twist. It recontextualizes him from a love interest to the primary antagonist, yet the show subverts this by later showing him being a genuinely good King.
The Dragon's Blood: It is revealed that Yona is the direct reincarnation of King Hiryuu. This means the dragons' loyalty is biological and instinctual. The show explores the horror of this—Zeno (Yellow Dragon) reveals later (in OVAs/Manga) that he has been alive for thousands of years, unable to die, waiting for Yona. This twists the 'cool superpower' trope into a tragic curse of immortality.
The Ending (Episode 24): The anime ends with Yona choosing not to attack the capital immediately. Instead, she resolves to travel the land to fix the problems her father ignored. This twist changes the genre from a 'Revenge Story' to a 'Redemption/Political Reform' story. She realizes that simply killing Soo-won won't fix the country's rot.