This Game of Thrones Scene That Croatia Tried to Ban Finally Happened. But that's not the only time the actress who plays Cersei in HBO's Game of Thrones producers spent $200,000 shooting a nude scene when she starred as Cersei in HBO's Game of Thrones, one of the most. But those excited over the idea of seeing Headey bare all might not want to. The shows claimed the top drama and comedy series prizes at last year's. I thought they were going the body double for Lena Headey.