... is because we're definitely in Act 3 of this story, and Jon is clearly a player in the endgame. The remaining seasons should all move relatively quickly towards a conclusion, and I think tossing Jon/Sansa in prison or whatever the result of a trap would be would only serve to delay the endgame further, which I really doubt is going to happen at this point. The chess pieces are all starting to move pretty quickly.

A Littlefinger/Bolton alliance also would betray the one built-in Littlefinger character weakness: his love for Lady Stark and, as a result, her kids. I have to believe Littlefinger knew the Ramsey marriage wouldn't be pleasant, but his ambition to sew more shit up in the North fucked up his relationship with Sansa.

I think it's far more likely that, in the battle of the Bastards, things will be looking grim for Snow and his guys... and then Littlefinger's Knights of the Vail will roll up, unannounced, to help him get back in with Sansa and to help him have influence over more of the map all in one move.