Sorry to hear that, but the term "friendzone" is bullshit. Women don't owe you anything, and this applies to Jorah's case too. Sure he's loyal to her, but she sees him as a father figure more than anything else. After all, she's 14 in the books and he's around 40. But regardless of the age, you can't expect someone to love you just because you love them.
Also, is it really that bad to be considered a friend? Jorah fucked it up too. He wanted Dany to be so grateful for him, but he got a taste of the dragon's wrath instead. He's the one who should be grateful to be considered a loyal friend and not ask for more than that. I like Jorah, but like all GRR Martin's characters, he has flaws and messes up badly.