It's probably pretty questionable whether Theon Greyjoy - or what's left of him - actually wants to be alive right now, and the only thing keeping him alive is probably the fear of letting Ramsay down. But regardless of what Theon has been through at the hands of Ramsay - and by his own mind, which has clearly tortured him for his betrayal of the Starks and the murder of the two farm boys - he will die, and he will deserve it in the long-term. It's just that the snivelling creature that has replaced him - Reek - is no more than a dog who keeps going back to an abusive owner because of conditioning, and with every leak of his remaining humanity the chances of his death being horrible to watch increases. How He'll Die It would be nice to see Theon going full Enough and killing Ramsay in a firestorm of repressed anger and vengeance, but there's just not enough of the Greyjoy iron left in him for that. What's more likely is that he dies protecting Sansa, after basically ensuring that Ramsay's torture of her has been more effective this season. She has so far been the only one to crack the surface of Reek so far, and poetic justice would see Reek tragically turn on his master to allow Sansa to escape (whether from Winterfell or later when Ramsay presumably comes after them, because he has the memory of an elephant).
