The only person who can make sense of the Theon situation is that he's being tortured by Bolton's bastard son. Bolton seems to be playing both sides and if his son is a psychopath then it would explain why Winterfell was burned and sacked and why the man he the rescue posse recognised Theon's rescuer.
Of course it doesn't explain why he rescued Theon before he was raped since everything else he's done shows some extreme degree of sadism.