There's not a ton of evidence to support this, but the intro to the show seems to imply the world exists inside a sphere rather than on the outside of it:
This seems like the sort of hint GRRM would drop; additionally, this could be the source of the strange season cycles that the world experiences. It's at least plausible that the inhabitants of this world would never notice due to atmospheric effects. Also, I don't recall any references in the books to a ship appearing on the horizon (which would be a nail in the coffin for my theory).
Of course, perhaps the animators for the intro simply did not want to render a sky...
EDIT: forgot to include:
- In Is the world of "A Song of Ice and Fire" round or flat? GRRM is quoted as saying the world is "round", which neither confirms nor denies my suspicions.
