We propose a physically-consistent Bayesian non-parametric approach for fitting Gaussian Mixture Models (GMM) on trajectory data. Physical-consistency of the GMM is ensured by imposing a prior on the component assignments biased by a novel similarity metric that leverages locality and directionality. The resulting GMM is then used to learn globally asymptotically stable Dynamical Systems (DS) via a Linear Parameter Varying (LPV) re-formulation. The proposed DS learning scheme accurately encodes challenging nonlinear motions automatically. Finally, a data-efficient incremental learning approach is introduced that encodes a DS from batches of trajectories, while preserving global stability. Our contributions are validated on 2D datasets and a variety of tasks that involve single-target complex motions with a KUKA LWR 4+ robot arm.