Allen's real life brother Alfie Allen plays Theon Greyjoy in the television adaption of author George R.R. Martin novel series A Song of Ice and Fire. The Sheezus singer explained on Reddit she turned down the part because of the somewhat sexual scene the character in question was supposed to have with her real life brother.
"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 [expletive]." Allen said. "Once they told me what was entailed, I said no thanks."
During an episode in GOT's second season Theon encounters a woman he does not recognize. After going on a horseback ride together, in which he touches her both inside and outside of her clothes, he learns she is in fact his sister, Yara Greyjoy. The role was played by actress Gemma Whelan.
In spite of refusing to play the part, Allen said she'd be "open to doing a musical cameo like Sigur Ros" in the series.