The singer - whose third album 'Sheezus' is currently at No.1 in the album chart - was offered the role of princess Yara Greyjoy opposite her brother Alfie, who plays Theon Greyjoy.
During a recent Reddit Ask Me Anything Q&A session, Lily explained: "They asked me if I'd be interested in playing Theon's sister.
"I felt uncomfortable because I would have had to go on a horse and he would have touched me up and shit. Once they told me what was entailed, I said no thanks."
And Lily wasn't wrong either, as one scene does see Theon fondling Yara - eventually played by Gemma Whelan - before discovering that they're actually brother and sister.
Despite turning down the role, Lily did say she'd still be open to appearing in the fantasy world of Westeros, but in a musical capacity.
"I would be open to doing a musical cameo like Sigur Ros, though," she said.
Sigur Ros aren't the only musicians to appear in the show, Brooklyn rockers the National have also performed and Snow Patrol's Gary Lightbody made a blink-and-you'll-miss-him cameo.