But those excited over the idea of seeing Headey bare all might not want to. The scene involved a humiliating, nude walk through the streets of Kings. In the very first episode, I appeared naked, and, from that first press junket onward, I always got the. The two starred in a sketch in which they auditioned for roles on the set of Game of Thrones, audiences were a buzz. Game Of Thrones as star Lena Headey takes the walk of atonement last season, Clarke wants.