I recall that Dagmer suggested it in the show, and Theon realized what he was referring to.
Nope. Dagmer merely points out that Ironmen don't do as they're told. Theon mentions Torrhen's Square, Dagmer says it's a better prize than fishing villages and asks if Theon thinks they could take it. Theon says no, Winterfell would come... then gets that stupid grin on his face.