Yara Greyjoy played by Lily Allen, and yes, they were still going to have that bit in it...

How did you feel when you told Alfie to get a job and he immediately went and got a job on the coolest show on tv??

Well, that was about a 5 year disparity between the two! But I've been asked to do a Game of Thrones cameo, they asked me if I'd be interested in playing Theon's sister, and I felt uncomfortable because I would have had to go on a horse and he would have touched me up and sh*t. Once they told me what was entailed, I said no thanks.

I assume "no thanks" is paraphrasing somewhat.

via Lily Allen's reddit AMA