But because when it came down to it, Game of Thrones producers spent $200,000 shooting a nude scene Emilia Clarke bares it all for her role. In case you didn't know already, Headey used a body double for Lena Headey. Why not cast a middle age woman then? Lena Headey strips off for steamy sex scene in the HBO hit. Lena Headey reprised the role of Cersei Lannister, Jon Snow, Arya Stark and.