It's called a "NESKeytar", by the way and like a Nintendo, it's 8-bit all the way. There are lasers too — because lasers — and if you think it's an elaborate trick, the sounds you're hearing are being produced by the console's audio chip. It's about as authentic as a retro rendition of the Game of Thrones theme can get.
OK, it's not all NES-powered. As the video's description explains, while the noise is being produced by the original RP2A03 hardware, a Raspberry Pi and three mini-Arduinos help drive it all. It incorporates several other gaming devices, including a Guitar Hero controller and the buttons (as well as the whammy bar) can be remapped.
Sure, it doesn't hold a candle to composer Ramin Djawadi's original, but if you close your eyes, you can almost imagine a low-fi game based on the series actually exists.