Honestly, I think I'd prefer if this was set in an alternate time period that doesn't involve the characters from the books/show.
There are just too many highly familiar characters for an open-world RPG, and there's no way the developers would be able to do them justice. Imagine how immersion-breaking it would be to talk to Tyrion or Arya or something and they spout off the same 5 lines in a row like every NPC.
But it might be a hard sell to just release a "Game of Thrones-inspired" game and not have the characters everyone knows in it.