George R.R. Martin is in hiding. He’s talking to me from a remote mountain hideaway whose location he refuses to disclose. It’s a cabin he visits when he wants to hunker down to finish a book—and he’s hard at work on “The Winds of Winter,” the long-awaited sixth installment in “A Song of Ice and Fire,” the fantasy series that spawned HBO’s hugely popular “Game of Thrones.”

He has a different book coming out later this month—not yet that highly anticipated sixth volume, to many fans’ dismay. Instead, he’s going back in time...