Yes, I followed the normal main quest line. All mods seem behave ok. After digging hard on the internet I found there are some people having the same problem - "No option to buy Breezehome and Lydia is using throw voice lines". But no one knows what causes it and how to fix it. The issue persist even I deactivated all the mods and reloaded the save, seems like the damage has been done to all the saves. My suspicion is on mods that alter quests may have conflict with another mod - Alternate Start; The Choice is yours etc. Sorry, do you mean use the shout after kill the first dragon? yes I did.