It is believed that Sansa and Theon escaped and survived the jump of one of the castle wall of Winterfell. It’s not sure where are they hiding may be they have taken shelter with some Stark ally or somewhere else. However, in the trailer, Theon looks to be surrounded by some soldiers, not sure which army but it is to be believed that the soldiers belong to Bolton army. Sansa can be seen running away from the soldier. Meantime, Brienne is also in the forest near Winterfell and is seen killing some soldier.
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There might be a possibility that Brienne notices Sansa and Theon and come for their rescue and takes them to a safe place. If this happens, she might take them to Castle Black, where she believes that Sansa will be more save. But she is unaware of the fact that Jon Snow has been left to die by his own Night’s watch brothers.