Since GRRM is a consultant on the show, it's possible that some of the scenes (Theon's) were scenes he thought of that didn't make it into the book. There is mention (and evidence) of his flaying by Ryse Bolton, but no Theon POV. (Or is that from book #4, making seasons 3 & 4 a mix of books 3 & 4?)
Theon doesn't directly appear again until Book 5. But...80% of book five runs in parallel with book four, and given the way the movie thing works, he's likely to be there.