I think Theon still lives. Actually, there are several people in that battle who they didn't actually show them die.
I was sad that Nymeria bailed on Arya. Actually, the whole Dire Wolves story arc could've been so much cooler; so much more full of the fantasy genre mystique. But that's not Martin's way I guess. The world he created is dominated by human machinations, and what fantasy elements exist are underplayed, when comparing to authors like Tolkien, Jordan, Donaldson, Goodkind, etc.
Still, something tells me Nymeria will be back when it matters most.