Yes, you did see Robb Stark die at the Red Wedding: you saw it, I saw it and every other friggin' Game of Thrones fan saw Grey Wind's decapitated head on his shoulders, but hey - there will always be theories, won't there? In A Song Of Ice And Fire, George R.R. Martin writes that all the Stark children are wargs. In other words, they're all able to take over their direwolves. The theory is that right before Robb died, he warged into his direwolf, Grey Wind. Then into Nymeria (Arya's direwolf that went missing). Direwolves have a bond among themselves, so this is not entirely impossible. This can also be the reason why Nymeria is a leader of the wolves when Arya meets her again later in the books (and perhaps in future seasons of the show). If Robb's head is still there on a pike, the theorists believe that the Lord Of Light will be able to help "put" him back together. That just sounds like a lot of work to me.
"Don't take life too seriously. No one gets out alive anyway."
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