Yes, according to her brother Alfie...
Alfie Allen has all but denied that his sister Lily Allen was offered a role in Game of Thrones, but that she turned it down because of some incestuous material written into the plot. The offending scene occurred back in season 2 of the HBO drama.
Was Lily Allen's Game of Thrones story just that, a story?
Allen claimed that she was “asked to do a Game of Thrones cameo” on a Reddit AMA. “They asked me if I'd be interested in playing Theon's sister [Yara], and I felt uncomfortable because I would have had to go on a horse and he would have touched me up and s---. Once they told me what was entailed, I said no thanks. I would be open to doing a musical cameo like Sigur Ros, though,” she said.
The pair’s relationship has been closely scrutinised by the press during Allen’s fame as a singer; her song “Alfie” was an unveiled jab at her brother, imploring him to ‘get a job’ and stop being so lazy. But by all accounts, Alfie has turned things around, and not enjoys a role in one of the most popular television dramas of all time.
Now, though, it seems as though that sibling rivalry has received an extension of sorts with Alfie’s assertions Lily’s cameo claims are false. "I heard about [the cameo offer]. The only thing I'm going to say on that is that it's not true,” he said, rather emphatically to Vulture. “And also that Gemma Whalen was always their first choice for the part. And she's fantastic. And that's the only thing I'm going to say about that.”