The show, which is said to cost $10 million per episode and is filmed in the UK, is partly funded by HBO and partly from arts subsidies granted by the EU. More info:

https://www.washingtonpost.com/video/entertainment/why-game-of-thrones-fans-should-be-worried-after-the-brexit-vote/2016/06/24/a7f31a98-3a2b-11e6-af02-1df55f0c77ff_video.html

https://www.thesun.co.uk/news/1334981/fears-end-of-eu-subsidies-will-stop-filming-in-northern-ireland/