The 41-year-old actress bares all in a scene for the upcoming series of the drama - in which she plays Queen Regent Cersei Lannister - which sees her character walk stark naked out of a church and through town, and costs for filming the footage in Croatia was huge because of the extra staff needed, reported TMZ online.
More than 200 security guards were hired to protect the set in Croatia for the four-day shoot, while extra crew were also needed.
In addition, producers had to pay local shop owners to close for the duration of filming and leave the area.
Just four members of the crew were present on set when Lena stripped for the scene.
And the shoot was almost scrapped because the local film commission in Dubrovnik wouldn't grant a filming permit because the Church of St Nicholas didn't approve.
However, they amended their decision on the basis Lena didn't disrobe in the church, and a fake religious set was built instead.