If you actually could live in Westeros, chances are your life wouldn't be quite so wonderful. But just like when people imagine past lives and are somehow always a king or wealthy aristocrat, people make the mistake of thinking they'd be sitting on the Iron Throne or sipping wine in the water gardens of Dorne. There's no shame in that kind of daydream. After all, it's so well-imagined that it's wonky climate (where seasons can last for years) might actually be scientifically possible. Martin's Westeros-it's fun to imagine somehow magically traveling to it and living there.
And sometimes, when the fictional world in that book is built really, really well-like, say, George R.R. Whatever's going on in the world around you, diving into a great book and getting lost for a while is great for your mental health.