Foi banido pelos militares turcos.

Não é uma proibição nacional, mas Game of Thrones foi banido nas academias militares turcas :

In November 2014, it was reported that a number of television programmes, including Game of Thrones, had been banned in military schools belonging to the Turkish army, in order to protect young people from: "sexual exploitation, pornography, exhibitionism, abuse, harassment and all negative behaviours" (dragons weren’t mentioned). According to a report in the Turkish daily newspaper Cumhuriyet, this isn't the first time that Game of Thrones has caused trouble within the country’s army. In 2012, officers were kicked out of a military academy in Istanbul for allowing cadets to watch the show.

Talvez

... mas não consigo encontrar nenhuma evidência strong para apoiar isso.

O único país que eu encontrei que baniu Game of Thrones é a Coreia do Norte, o que faz sentido. No entanto, a única fonte específica que posso encontrar é no Quora , mas não sei de onde esse usuário tirou suas informações.

in North Korea as of 2017 game of thrones is banned by regime of Kim Jong because of his control over media

Mais uma vez, isso é respaldado na Coréia do Norte "É proibido sintonizar transmissões estrangeiras" e "Assistindo Filmes estrangeiros são ilegais na Coreia do Norte, mas outros fazem isso de qualquer maneira " e

O único outro caso de uma proibição total que pude encontrar foi pelas forças armadas turcas como @Rand al'Thor ♦ já sugerido.

The Turkish Armed Forces (TSK) reportedly updated its secondary education regulations and added a new article to the chapter titled “the protection of students.” The new article bans the screening of productions like “Game of Thrones” on the grounds of protecting students from “sexual exploitation, pornography, exhibitionism, abuse, harassment and all negative behaviors.”
Four military officers were discharged from the army after they let their students watch “Game of Thrones” at a military school in Istanbul in 2012.
_{The Hurriyet Daily News}

Não Oficialmente

Embora a maioria seja citada das postagens de algumas pessoas no Quora, parece provável. A lista é de países que não exibem ou não mostram oficialmente o programa, mas ainda podem ser visualizados por outros meios.

• Irã

  In Iran, the show (just as all other American Shows) is not officially shown by any network provider. That being said, these shows have a huge fanbase and are viewed by Iranians through torrents and other illegal matters.
  _Quora

Censura

Parece haver muitos países que censuram o programa de TV e, portanto, não têm uma proibição definitiva.

• China

  “I estimate that they cut about twenty minutes,” one disgruntled Weibo commentator wrote after the first episode re-aired on Sunday. “The story feels discontinuous… [When they began re-airing it], my first reaction was ‘This can’t be!’ Then my second reaction was, ‘My God, what a mess.’”
  _{South China Morning Post}

• Arábia Saudita / Dubai

  I live in Saudi and I my cable providers is called “OSN” which is based out of Dubai. It supplies many Middle Eastern countries with a lot of American TV shows and movies including Game of Thrones. I can therefor confirm that it is aired on TV in Saudi, with heavy censorship that is.
  _Quora

• Vietnã

  I live in Vietnam and it is heavily censored.
  The introduction scene of Tyrion, when Ros was working on him was cut. The monologue of Little Finger in Season 1 when he said his famous line "I'm not going to fight them. I'm going to f them" was also cut because of the "praticing" girls.
  And there are way more that it is even safe to say Game of Thrones show is butchered when it's broadcasted in my country.
  _Quora

E haverá inúmeros países onde é censurado, considerando o conteúdo do programa.

Os dois exemplos a seguir não são exatamente o show que está sendo banido, mas lugares por causa do show forçando restrições.

• A estrada Dark Hedges, na Irlanda do Norte, proibiu o uso de carros para proteger as árvores depois de ter sido usada para filmar uma cena de Kingsroad.

  Cars and tourist buses are to be banned for driving down the iconic Dark Hedges road in Co Antrim from the end of the month.
  The Department for Infrastructure has issued an order barring everything except agricultural and emergency vehicles and those needing access to land in the area from driving down the beech-tree lined avenue of the Bregagh Road, near Armoy from October 30.
  _{Belfast Telegraph}

• O elenco e a equipe foram proibidos de filmar em Malta depois que aparentemente deixaram danos permanentes à paisagem.

  The 30ft rock formation on Gozo is one of the islands’ most well-known landmarks.
  During filming, the crew used mesh to cover the area in sand and create a desert setting.
  But it’s been claimed they failed to clean up properly, leaving powdered hard stone covering the “fossil-rich” site.
  Environmental experts said the area was permanently damaged and that filming caused “total elimination of the ecosystem”.
  A show source said: “Malta’s government were not impressed.
  “The Azure Window is one of the country’s gems but it was left in such a mess.
  “After the experts reported there had been serious damage, it was decided the show was not going to be allowed to return for future filming.”
  _{The Daily Star}