Last I spoke to Delphine she gave me the Horn of Jurgen Windcaller, then asked me to follow her where we could talk. I left instead. Returned today, using fast travel. On the back of a Dragon I flew into Riverwood with Dragon Aspect active. He lands right behind Riverwood Trader. I dismount and walk into the basemant, Dragon Aspect still active, just to hear her concern that I might not really be dragonborn.

Was almost as fun as dragging Esbern through the entire civil war questline. lol "I'm getting to old for this," he says.