The name of the world would probably "Planetos", the inofficial name for the world from the ASOIAF universe itself since "Westeros" is only a single continent and Daenerys spents most of the series' time in Essos, but in all honesty I doubt Game of Thrones would ever have a chance being in KH at all due to both works being diametrical opposites on the idealism vs. cynicism scale and how they portray and interpret morality as well as concepts of magic, death and society.
Most of the KH characters wouldn't last even a week in the setting of GoT/ASOIAF and probably end up with a fate like Ned or Robb Stark.
Sora would probably go insane pretty quick in that rather grim world although I could imagine Xehanort probably lasting a while and becoming partners in crime with either Roose Bolton (who unlike his needlessly cruel bastard son is rather competent), Petyr "Littlefinger" Baelish or possibly Cersei Lannister (who Xehanort would probably play like a fiddle with his manipulation skills since Cersei sucks at playing the long game).
If one wants a "high fantasy" setting in KH even just speaking hypothetically Lord of the Rings would probably a much better choice than Game of Thrones theme-wise.
Sauron, the Ringwraiths and/or Saruman could also very easily be connected with the Heartless and forces of Darkness in KH.