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The last season was shot mainly in the UK, with locations in Northern Ireland and studios in England. I don't have the exact details of each setting, but I know they used a lot more real locations than in previous seasons.
The thing is, "last season" depends on when we're talking - season 3 was the most recent, but it's not definitive that it'll be the final one for the series. That said, season 3 was filmed pretty heavily in the UK, mainly in studios and locations across England and Northern Ireland, though they also used spots elsewhere. HBO's typical approach is to mix controlled interiors with real exteriors to give it that epic feel, so they probably shot a bit of everything during production.
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