Theon knows that she is right. There would only be so far they could get in this condition. Sansa would probably be better off without him. He felt weak and slow and she needed to move fast to keep from being recaptured. But he doesn't say so out loud, Sansa would protest and the less spoken the better. So he just remains quiet.
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"I was born in Winter, Theon. You need not tell me of snow." She was the only Stark child who had.
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"Still, Sansa."
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