Could be cool, but it depends a lot on how their license works. If they're only allowed to make small stories set in the "current" time period in the setting, the game's impact will be severely lessened. If they were allowed to explore some of the other important periods throughout Westeros history however, things could get very interesting indeed. They might not be allowed to touch Robert's Rebellion, The Hedge Knight or The Dance of the Dragons (all of which are earmarked for other story treatments), but there are plenty other events of importance.
I was kind of hoping for one set during Robert's Rebellion. still, this could be interesting. wonder how they'll work combat into it. and do they plan on using multiple characters' PoV? it would allow they to pull a first person death scene and get that nice knife-you-in-the-gut feeling that GRRR is famous for.