In the books, Jon & Melisandre sends Mance Rayder and his spearwives undercover to Wintefell to rescue "Arya"/Jeyne. They got Theon to help them, and help Theon and Jeyne escape. They turn up in Stannis' camp, where Asha is being held prisoner.

In the show, none of that is gonna happen. They've said from the beginning that Jon killed the real Mance, so he's not saving Sansa. I imagine the Northerners inside Winterfell, with Brienne, are going to rebel against the Boltons on their own, and Sansa will rule Winterfell. She'll probably send Theon, along with Davos, to find Bran and Rickon.