It wasn't intercepted, it was still in harbor with it's sails up. He was making the eyes for Myrcella's corpse, obviously he intended to stay for her burial.
I don't get what the big deal is, they didn't explain how they got there but it's not impossible. Just get on another boat and follow them...
This.
Though it appears many are stuck with the chain of events. It's crystal clear what transpired:
Jaime, Trystane and Myrcella were on the boat. When Ellaria gave Myrcella the kiss of death before she boarded, all of the sand snakes were with Ellaria, watching the boat sail away. Two of the SS then got on a presumably faster boat and traveled to KL. Trystane remained on the boat (was likely advised by Jaime to do so) and obviously planned to attend the funeral but needed Jaime to make sure Cersei is ok with that.
In one of the old GOT threads, I posted a pic and a comment how they went back to shoot an afterthought scene in KL, even though GOT officials said they were done with the location.
The whole Dorne thing doesn't make much sense, the chain of events is rushed, without time for involved characters to make it more plausible. Yes, it is easy to poke holes at it but wow, Dorne was perfect bait to get all the book waiters/show haters to crawl out of the woodwork for it...