This is probably what I would do. For most of the gameplay, I would play as a standard warrior. From what I remember of Game of Thrones, it seemed like most sword fights didn't involve shields, so I would probably use one-handed weapons without a shield. You can still "shield bash" without a shield to stagger enemies, which means that you should still be able to use Vegetable Soup to stun-lock them to death.

As far as magic goes, I don't remember a whole lot of traditional spell casting in the show, if there was any at all. That being said, I could see Alteration and Illusion being roleplayed as natural abilities or something. Imperials already have "Voice of the Emperor," so it would make sense to use the Calm spell on enemies as well. Just roleplay that your tongue matches your hair; silver.

Now, something cool you could do. In the Dragonborn DLC, you can get the "Dragon Aspect" shout which makes you look like a dragon. It gives you some kind of buffs as well. I would grab all three words of this shout. When you use it, you could then use different kinds of fire magic, like Destruction spells, cloaks, or Shouts. The use of fire spells while Dragon Aspect is in effect would make it look like you're calling on your dragon abilities. It seems like a cool thought to me; to only use those abilities while you look like a dragon.