Macumber

Macumber, the blue-eyed giant is the legendary being in Westeros, the kind of folktale creature in children's stories.

According to some stories, the reason the sky is blue because the entire world is a tiny object floating in the eye of a cosmically immense, blue-eyed giant called "Macumber".

Season 1
As Old Nan leaves Bran Stark's bedside, Robb Stark remarks of her many fairy stories that she once told him that the sky is blue because we all live inside the eye of a blue-eyed giant named "Macumber". Bran points out that for all anyone knows, maybe everyone does.

Season 4
Soon after the assassination of King Joffrey Baratheon at his own wedding, his grandfather Tywin Lannister meets with Oberyn Martell. Tywin remarks that some (naive) people think that Joffrey simply choked. Oberyn flippantly replies that some people think the sky is blue because we all live inside the eye of a blue-eyed giant (but thinking it doesn't make it true). Oberyn acknowledges that Joffrey was assuredly poisoned.

In the books
In the A Song of Ice and Fire novels, there is no legend about the sky being blue because the entire world is in the eye of a blue-eyed giant named Macumber - nor any comparable fable. It is an invention of the TV series. Macumber is first mentioned in Season 1 episode 3, and again in Season 4 episode 3 (though Oberyn does not refer to him by name).

The on-screen subtitles confirm that the spelling is "Macumber" not "Macumba".

The story about Macumber is apparently not a meta-narrative reference to author George R.R. Martin (in the sense that the entire world of Westeros originated inside of his head): Martin has brown eyes.