They initially found the direwolves in the wild, it's not as if they are the only direwolves in Westeros. And remember the last time Jon would have seen his brothers direwolves they were considerably smaller pups. I see nothing wrong with him not connecting those dots.
Didn't they say something about them being animals from beyond the wall or something very uncommon?
And they were specifically helping him out.
Though i forgot about the fact that he hasn't seen them in years.