Even if he found some secret way out, Theon would not have trusted it. He had not forgotten Kyra and her keys. And if he did get out, where would he go? His father was dead, and his uncles had no use for him. Pyke was lost to him. The nearest thing to a home that remained to him was here, amongst the bones of Winterfell.
A ruined man, a ruined castle. This is my place.