In season seven, Cersei told her brother Jaime she was once again pregnant with his child — but it was never made clear whether or not that was actually the case.
But that wasn't always the way it was supposed to play out, according to Headey.
"We shot a scene that never made it in to season seven, which was where I lose the baby," she told the crowd, according to USA Today.
"And it was a really kind of traumatic and grave moment that never made it in. I loved doing that because I thought it would have served a different meaning."
In the penultimate episode of the controversial season eight, Cersei and Jaime were crushed by bricks as they attempted to escape King's Landing, which was under attack from Daenerys Targaryen.
One of the major criticisms of the episode was how unsatisfying some fans found their deaths — something Headey later seemed to agree with.
After it aired, she told The Guardian: "I will say I wanted a better death. Obviously you dream of your death. You could go in any way on that show. So I was kind of gutted.
"But I just think they couldn't have pleased everyone. No matter what they did, I think there was going to be some big comedown from the climb."