So,... you guys who read the books don't know who is torturing Theon?
That we do know, at least we know under who's command. But Theon does not show up at all in A Storm of Swords. Apparently the creators meant business when they said they from this point on would create the show from the whole series, not rigidly from book to book. To be fair, the way book 4 and 5 are set up it was a move that had to be done.