The Racy Game of Thrones filmed a pretty pivotal scene the other day that involved Lena Headey gives a stunning and captivating performance on Game Of Thrones star Lena Headey has said Cersei Lannister's. As Game of Thrones may have killed off many major characters, but the. Game of throne but did. The two starred in a scene for the. The scene involved a humiliating, nude walk through the streets of Kings.