Nitrogen and water are very abundant in nature; however, the way they chemically react at extreme pressure-temperature conditions is unknown. Below 6 GPa, they have been reported to form clathrate compounds. Here, we present Raman spectroscopy and x-ray diffraction studies in the H2O-N2 system at high pressures up to 140 GPa. We find that clathrates, which form locally in our diamond cell experiments above 0.3 GPa, transform into a fine grained state above 6 GPa, while there is no sign of formation of mixed compounds. We point out size effects in fine grained crystallites, which result in peculiar Raman spectra in the molecular regime, but x-ray diffraction shows no additional phase or deviation from the bulk behavior of familiar solid phases. Moreover, we find no sign of ice doping by nitrogen, even in the regimes of stability of nonmolecular nitrogen.