I guess he doesn't want his Bride-To-Be to know just yet that he's capable of creating such a creature from her childhood friend through extreme torture, even if Theon did "murder" her brothers.

Ramsay's main squeeze is pissed off that he's getting his head turned by Sansa and wanted to throw a spanner in the works by showing Sansa the real Ramsay. Maybe Sansa went down because she thought they might have Nymeria or Shaggydog in one of the kennels?

After Sansa had seen Reek, Ramsay had to rush to make it look like it was all done in the interest of the Starks (to punish and make a 'new man' of him) rather than just to satisfy his own sadistic libido.