Daenerys Targaryen. George RR Martin may have based some aspects of Daenerys Targaryen on Henry VII.
Catelyn Stark (nee Tully). Catelyn Stark, wife of Ned Stark, may be based on Cecily Neville.
Lord Walder Frey. Walder Frey may be based on two players in the Wars of the Roses: Cecily Neville’s father, Ralph Neville, and Thomas Stanley, the opportunistic lord who betrayed Richard III at Bosworth.