I don't follow "Juego de Tronos", so I don't know much about it. However, checking its page in Wikipedia I see references to Lady Catelyn Stark, Lady Lysa Arryn, Lord Eddard, Lord Jon Arryn, etc. So it looks like this is the way the translators decided to keep for the Spanish version.
For the record, note that both
lady are accepted words in Spanish by the RAE:
(Del ingl. lord).
- m. Título de honor que se da en Inglaterra a los individuos de la primera nobleza. También llevan anejo este tratamiento algunos altos
- f. Título de honor que se da en Inglaterra a las señoras de la nobleza.
You are also asking
to a native spanish speaker, do "lord" and "lady" sound english or
It is difficult to say. To me, "lord" and "lady" sound like (old fashioned?) titles of nobility and I don't see them as equivalent to "señor/a". Maybe I would consider "sir" as a translation of "señor". However, since Game of Trones is -apparently- based on Mid-ages time, it must make sense to use such words there.