Lady Baela Targaryen

I don't recall that... Theon never tells that, if I'm not mistaken. He even thinks he's clever for that.

When Ramsay was posing as Reek in Winterfell, he killed the miller's boys and convinced Theon to pass them for Bran and Rickon.

Yeah, that was add to. Theon never told anyone about it. So, I'm guessing, they'll remove the whole part of the fake Arya.

The Boltons know that Bran and Rickon are alive in the books.