However, Alfie, 27, rubbished her claims and said 'Gulliver's Travels' star Gemma Whelan was always first choice for the part.
Referring to Lily's role in the show, he told Vulture: ''The only thing I'm going to say on this is that's not true."
Lily, 20, insisted she had been offered a cameo in the HBO series during a Q&A with Reddit.com last month.
She said: "I've been asked to do a 'Game of Thrones' cameo. 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 s**t. Once they told me what was entailed, I said no thanks."
The part of Yara Greyjoy, Theon's sister, eventually went to actress Gemma Whelan.
The character was introduced in the second season of 'Game of Thrones' in a scene which saw Theon caress his sister over her clothing while they rode a horse. However, he is later embarrassed when he discovers the woman is his sibling whom he hasn't seen in numerous years.