Ice wouldn't be a problem in creative mode. And I see no other way to get the necessary amounts of snow or ice.
I can try ice for walls, but I fear it will look even odder.
The walls are flat and bland because I want to immitate the stile of the nether fortress. And it has even more flat, monotone structures. It is moderated a bit because the Nether Bricks have a patterned skin while the snow texture is rather blunt.
Another approach would be to build the building from "normal" materials and add icicles, snow and snowy covers like in a snow biome. But: Is there a way to cover blocks in snow other than a Snow Golem? They don't work in the Nether, as far as I know.
To have a courtyard with snow covered pine trees like the God's Gove in Winterfell would add to the flair.
...Why nor rebuild Winterfell itself? Why havn't I thought of this sooner? In Better Than Wolves there are Blood Trees that look exactly like the white Trees from the series, including red leaves.
I used a Nether Fortress nearby and added Icy Battlements and walls. The design is copied 1:1, only the used blocks are different.
Only one additional wall of ice. Nothing special. But you can see other segments of the Nether Fortress in the background.
Turned the simple ice wall into a corridor and added some water- and lava falls for the show.
Btw: you can't place water in the nether; not even in creative. But you can place ice and melt it with a torch.
That also means that you must not light any fire inside the icy corridors of the Frozen Fortress or it will melt all around you and turn the Magma Lake into a Obsidian Mirror.