I'm experiencing this same issue with episodes 1, 4, 6, 9, and 10 - particularly frustrating because I've been anticipating this 2nd season so much. Waited 24hrs to try again in case it was a personal problem! I'm new to this forum - am I simply missing an obvious solution already offered elsewhere?
I was having this problem too (still am) for episodes 3 and 9, but today I was somehow miraculously able to download episode 3. The thumbnail picture looks different than the episodes I was able to download from the beginning but it's still Game of Thrones. If you haven't already, send an email to support at: https://support.us.playstation.com/app/ask and ask for help and/or a refund. They probably can't help you but they can give you your money back.
Cant download episodes 4 or 6. How bizarre, and incredibly disappointing. Have not tried to download any other episodes, but I REALLY want to watch this show. Received a PS store credit which was cool but I still can't download Game of Thrones season 2. That's all I want. Please fix it Sony. HURRY!!