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Lily Allen was asked to have a cameo as the sister of Theon on Game of Thrones. Theon is played by her real-life brother Alfie Allen. It doesn't sound like a bad idea, until it was revealed that Theon fingers his sister on a horse!

Of course, Lily Allen declined. In a Reddit AMA, a fan asked how she feels about the fact that her brother "got a job on the coolest show on tv??" Allen responded:
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 shit. Once they told me what was entailed, I said no thanks. I would be open to doing a musical cameo like Sigur Ros, though.
What we really want to know is how GoT producers thought Lily Allen and Alfie Allen's real life sibling relationship could be fictionalized on screen - because then it wouldn't be incest, except that it almost is when you're asking a brother to pretend to sexually molest his sister in front of a camera.