If it's canon with anything, it would be the show. It was made using HBO's license, not one gotten direct from GRRM. You'll note that in the logo, it matches the HBO show's style and it lacks the 'A' in A Game of Thrones. Also the familiar characters we see in the game are modeled after the actors from the show.
In terms of timeline it's between the colored weddings that we've seen in the show (i.e. post-Red Wedding, pre-Purple Wedding), at least so far. The game's first 'season' is not complete, so we don't have the complete story yet. As linked from the Wikipedia page, this article says:
Allison noted the Games of Thrones project, though still in early development stages, took more than a year of conversation with HBO to seal the deal — a multi-year, multi-title deal, to be exact.
So this first batch of episodes is just the first of several.
In terms of canonicity, the Wikipedia page links to this article:
A report from The New York Times reveals that Game of Thrones creator George R.R. Martin's personal assistant Ty Corey Franck is working with Telltale Games as a "story consultant" for the developer's upcoming episodic series based on the acclaimed fantasy franchise.
So ostensibly the story should be consistent with the rest of Game of Thrones.