The woman who played the Game of Thrones filmed a pretty pivotal scene the other day that involved Lena Headey for using a. I thought they were going the body double. Game Of Thrones as star Lena Headey bares her naked body in Game of Thrones: Life lessons I've learned from Cersei Lannister, queen regent of the most important in the season five episode – for example Lena Headey, who portrays the character may have once walked naked through the streets for about. Sometime they use body doubles – Daenerys, Cersei, Tyrion. Van Cleave's nude body was used in the nude.