Alfie has played Theon - heir to the Lord Of the Iron Islands - since the first season of the show which has seen the character go from a womanising rascal to a shell of his former self after being captured, tortured and castrated by evil Ramsay Snow (Iwan Rheon) in the third season.
The part of Yara ended up going to Gemma Whelan who also made an appearance in last week's episode, making a heroic attempt to rescue Theon.
However, Lily said she would still be interested in appearing in the show in a different guise.
"I would be open to doing a musical cameo like Sigur Ros," she said.
The Icelandic band made an appearance at King Joffrey's wedding feast earlier this season to perform the Rains of Castermere.
Allen is concentrating on her music career - she recently released her new album Shezus - r, while her younger brother will continue to appear on Game Of Thrones.
"It gets dark," Alfie told Entertainment Weekly about the forthcoming episodes. "I don't think people will find it as hard to watch this year.
"It depends what kind of person you are. It's more of a mental torture than it is physical. It's daunting as an actor. I have to do more telling of the story with my eyes than with words. I've never really done that type before."
- Daily Mail