The 33-year-old model-and-actress says the 'I'm A Virgin' singer was her idol growing up and she always wanted to dress like her and she even copied her iconic 80s hairstyles.
She told the Daily Telegraph newspaper: ''I would buy tonnes of hairspray. I had a bad perm and would scrunch my hair. I'd go through a can of hairspray a week.''
Although she was fascinated by Madonna, Kelly insists her biggest role model when it came to hair and beauty was her grandmother.
Kelly said: ''My earliest beauty memory was at my grandmother's house. She was always into beauty products and I remember her teaching me how to cleanse my face using Anne French Cleansing Milk. Nowadays, my ethos is to take good care of my skin - but I also think that if you have a clear and happy mind, that shines through and makes you beautiful.
''I'm reading about the alkaline diet and that seems to make a lot of sense. But I also still love all things beauty.''
Kelly's biggest beauty secret is contouring, a way of using make-up to highlight and shade areas of the face.
She revealed: ''It gives you a completely different bone structure.
''Beauty boosts your confidence and makes you feel wonderful.
''A lovely dress and some lipstick can really pick up your mood - but get it wrong and it can be a disaster.''
There are currently five separate teams working on 'Game of Thrones' projects at HBO.
She's a big fan of the band and this week she got to perform with them.
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