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I think they did know.Because thats where they were ordered to be with no prior knowledge to what jamie did
Ned: "When Kings landing Fell. Ser Jamie slew your king with a golden sword and I wondered where you were."
Ser Gerold Hightower: "Far away or Areys would yet sit on the iron throne and our false brother would burn in seven hells"
They didn't seem shocked or anything about the news that Areys died, so I'm inclined to think they knew what happened.
Also Ned went to KL for the siege, then after finding the King dead he went to Storms End to lift the seige there then went to the Tower of Joy. Word had to have traveled to Dorne by then of the news.
What I think happened was King Areys sent the three KG to protect Rhaegar then he sent them to protect his son.