Maege response is "return Maege to your hand to ...."

Can this be cancelled by the Iron Throne - "Cancel a character ability"

I'm wondering whether it is still classed as a character ability as the card is in the player's hand and not in play

It's a character ability because it triggers from in play. Not only that, but the card won't be in the player's hand until long after the ability has been canceled due to moribund rules.

At what point does a character return to hand - the returning to hand is a cost and occurs whether cancelled or not

Yes, returning to hand is the cost, but she will still be in play until Step 6 of the entire action window as that is when Moribund cards leave play.

Sorry I edited my post after you posted. I realized the sentence I wrote sounded like I was in 2nd grade.