“I felt uncomfortable because I would have had to go on a horse and he would have touched me up and shit,” Allen said in a Reddit AMA. “Once they told me what was entailed, I said no thanks.”
Allen did say she would be open to a musical cameo, like Sigur Ros did for the Purple Wedding.
The scene in question happened during a season two episode, “The Night Remembers,” in which Theon suggestively caresses his sister (who was actually played by Gemma Whelan) while riding behind her on horseback. However, it’s not until later that he actually finds out they’re siblings.
The fourth season of “Game of Thrones” is currently airing on HBO.