Lena has mentioned to us that she’s in Malta and according to the Game of Thrones fansite, Winter is Coming is she filming a scene there: “And what about the ‘very pivotal scene’ that had Lena Headey in Malta for a week? Yes, that was, as speculated, the scene on the steps of Baelor’s sept.”
Lena’s own words:
I’m in Malta till Sunday(shooting a very pivotal scene)…
Am still here on set working with the delightful mark addy. I traveled all weekend and I will be packing ready to head back to LA.