The first novel in the book series does have the article: *A Game of Thrones*.

The producers must have decided that they like the shorter title, probably because it rolls of the tongue better. Like user178049 said, titles have their own styles and rules.

Here are some titles of books one could say are missing articles:

* *Lord of the Flies*
* *Animal Farm*
* *Brave New World*

And then there are titles that people will very regularly omit the beginning article in conversation:

* *The Catcher in the Rye*
* *The Lord of the Rings*

All being said, I would contend that it's not odd to a modern native speaker of English that a title such as *Game of Thrones* is missing an article.