Westeros isn't a real place. I’m going to put that on the table right away, it's a sad fact. The CGI backdrops on Game of Thrones are another set of characters we have grown to love without even really admitting it. It’s because the story and its characters are so interesting that we get caught up in all the greatness of the show and forget about the seamless effects most of the time.
Check out this VFX breakdown of season 4 to see just how heavy the show is on the visual effects. You will notice how pretty much everything is fake, but still, who really cares?