There hasn't really been any hint of that in the show -- though they could have had him bring that up in his season 3 confession to Ramsay about his feelings toward the Starks. I guess that's one of the writing choices that seems like a missed opportunity if the writers really had this story in mind since season 2 (though the most obvious one of those is how Sansa wasn't given any reaction whatsoever to the events at Winterfell, given that it seems like her learning that her brothers are alive is meant to be a huge moment coming up).Or perhaps Theon's former secret feelings towards Sansa. Man, Theon was such a prick, actually I still think he is in the books.