What the Hell is Balin Greyjoy Wearing? -- Costuming, Characterization and World-Building

Like many people I've been watching Game of Thrones on HBO.  Unlike many, I don't love it and A Song of Ice and Fire is nowhere near replacing LoTR and the Earthsea books at the pinacle of my fantasy pantheon.  But I like it, I really do.  Except for the costuming.  I've remained silent for this long, but I must ask:  what the hell is Balin Greyjoy wearing?

Yes, I can see that it is a blueish-gray...thing.  

That doesn't answer my question.

Balin Greyjoy is the Lord of the Iron Islands -- not much of a domain compared to the rest of Westeros, but a significant realm, and according to him he is not just its lord, but its king.  And yet there he is, wearing rough-spun cloth (of an indeterminate identity) dyed a dismal color.  He does not look kingly.