Using indoor-only Xmas lights -- in the outdoors, where they'll get wet
The main risk I can think of is electrocution. Most likely the parts are not designed to get wet, exposed to sun, and/or extreme temperatures. GFCI will protect you if you get electrocuted and the voltage goes to the ground, but if you happen to get electrocuted in a way that continues through the wiring back to the neutral, there will be no voltage difference to cause a trip.

The electrical codes cover the wiring in the wall and to the outlets. But from the device plugged into the receptacle on, it gets into consumer safety and groups like UL. The product you selected was deemed unsafe for this purpose by the manufacturer or an underwriter, so it would be best to get a product designed for the purpose you intend. As an aside, outdoor rated holiday lights are common and cheap, so it doesn't make sense to try to save money like this.