The 28-year-old British actress, who gave birth to her second child in November with her husband Michael Mosberg, reportedly refused to release the 43-year-old rapper from a hug after wrapping her arms tightly around his back, while he performed his track 'Picasso Baby' for a 10-minute performance art video to promote his new album 'Magna Carta Holy Grail' in front of a crowd of well known artists at the Pace Gallery in midtown New York City.
A gallery source told the New York Daily News: ''She was acting totally nuts!
''She kept jumping on his back like a little monkey.
''Someone was screaming 'Get her off of him!'''
The blonde beauty, who plays quirky wild child Jessa Johansson on the HBO series, began kicking and begged security: ''Let us finish!'' as they removed her from the set.
Jay Z, who is married to Beyonce, was unfazed by the incident, amid speculation Jemima was part of his act.
The source said: ''He kept rapping the whole time!''
Actor Allan Cumming and performance artist Marina Abramovic were also among the crowd at the shoot, which took place over seven hours.
A spokesperson for Jay Z refused to comment on the incident and representatives for Jemima said they were unaware of it.
There are currently five separate teams working on 'Game of Thrones' projects at HBO.
She's a big fan of the band and this week she got to perform with them.