Lily Allen is a singer/songwriter known for hits like "Smile" and "Hard Out Here" (NSFW). To some of us, she's better known as the sister of Alfie Allen, who plays the despicable Theon Greyjoy/pitiable Reek in Game of Thrones. Lily could have had her own role as well. But she turned it down - for reasons that Game of Thrones fans are all too familiar with.
According to Allen's Reddit AMA, she wrote,
…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[**]. Once they told me what was entailed, I said no thanks.
That's because, as we know from season 2's episode, "The Night Lands," Theon meets Yara and doesn't recognize her as his sister…so he does what we consider "bad touching."
In other words, had Allen accepted the role of Yara, she could have played the woman who gets felt up by her brother as she gets felt up by her brother. It's kind of like the Doctor's daughter marrying the Doctor, but much, much more icky.
It's just as well she turned the role down. Game of Thrones already has too much incest without the actors getting involved.