The Red Keep would be a good one, with the Iron Throne as an upgrade for intimidation purposes. And it would make sense to always be held by the top liege since presumably the King would always own it even if King's Landing was somehow held by someone else
Edit: It's been a while since I've played in Westeros though so I don't remember how King's Landing is set up now, is the Red Keep its own holding? Maybe just the Iron Throne itself would be the wonder
Edit: It's been a while since I've played in Westeros though so I don't remember how King's Landing is set up now, is the Red Keep its own holding? Maybe just the Iron Throne itself would be the wonder