Man WTF did you guys wanted Theon to do??????
The whole situation reminded him of Ramsay, the torture he went through and he froze. Do you know a term called PTSD?? You see in his eyes he wanted to save Yara, BUT WHAT COULD HE HAVE DONE? If he went to help her, then both of them would have been captured and then he wouldnt even have a chance on saving her later.
I have SURE that he will do anything to get back, but he couldnt do anything to save her at that moment.