tzumainn.com/agot/combos/combo.php

Does it work ? If so, what are the consequences ?

Not an issue:

(4.11) House Cards House cards are considered to be "in play,"and cannot be removed from play for any reason.

When Knight of the Red Fork made it clear that House Cards are considered "in play," people tried to do this with Old Nan's Tales and Longship Raider. The FAQ entry nipped the whole thing in the bud.