For a year, acclaimed British filmmaker Jeanie Finlay was embedded on the set of the hitHBO series “Game of Thrones,” chronicling the creation of the show’s most ambitiousand complicated season. Debuting SUNDAY, MAY 26 (9:00-11:00 p.m. ET/PT), one week after the series finale,GAME OF THRONES: THE LAST WATCH delves deep into the mud and blood …