Probably about a 91% chance that it is Rickon that is going to be given to Ramsay. The last time we see Rickon, he is with Osha and they are told to head to The Last Hearth, which is the home of the Umbers. In the last episode Ramsay speaks of the Karstarks, Umbers, and Manderlys as houses that are in his support.

 

They don't typically just name off names in an episode for no reason, but the Manderlys may possibly play some sort of role in Rickons safety, but who really knows. We haven't seen much at all of the Manderlys in the show, which is a crying shame honestly. In the show as in the books, one of the Manderlys sons are killed by the Boltons at the red wedding, and the Manderlys owe everything they have to the Starks, so they won't ever go with what the Boltons are doing. The Umbers are somewhat of a split house so their loyalties are a bit hard to determine.

 

But I believe that Rickon will be used by Ramsay to write some form of the "Pink Letter" to Jon. He wants his Reek back, and he wants his wife, and I'm sure he will mention the fact that Jon's youngest half bro/cousin is sitting in chains at Winterfell.

 

Or it could just be Theon captured as he was heading back home, who knows. We'll see soon enough.

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