The Greyjoys started Season 7 of Game Of Thrones as important allies to Daenerys Targaryen, but the siblings lost their power after their uncle Euron attacked their fleet only two episodes in. Since then, Yara has been captured in King's Landing and Theon has been chilling at Dragonstone after a chilly reception from Jon. Yet, despite him seemingly not mattering in the scheme of this season with all of the dragons, White Walkers, and aunt-nephew love to focus on, Theon is in the Game Of Thrones Season 7 finale, "The Dragon And The Wolf." He's featured in the photos that HBO released before the episode aired and in the trailer for the finale. Theon being featured so prominently in the previews makes it clear he has a big plot line in the finale. Maybe Theon will attempt to save Yara. And while he may not succeed, at least he would be trying to right a major wrong.
When Theon let Uncle Euron take Yara during "Stormborn," Yara's face revealed that she felt betrayed. But while Theon was most certainly being a coward, it might have been the wisest decision. There was no way that Theon would have defeated Euron in hand-to-hand combat and then Theon either would have ended up captured like Yara or dead. By fleeing, Theon at least had the ability to get back to Dragonstone and regroup with his powerful allies to attempt to save his sister rather than be in a watery grave or rotting away in a cell with Yara in King's Landing.
While the fate of the youngest Sand Snake Tyene was revealed in "The Queen's Justice" with Cersei poisoning Ellaria's daughter like Ellaria had poisoned Myrcella, Yara hasn't been seen since Euron paraded her through the streets of King's Landing. Theon was last shown in "The Spoils Of War" when he returned to Dragonstone and reunited with a less than welcoming Jon. And while the Greyjoys have probably been far from fans' minds since then, Theon is shown traveling by boat with Daenerys' trusted advisors of Varys and Tyrion in the Season 7 finale preview.
If you pay attention to the preview closely, Theon is also shown walking into the Dragonpit behind Jon Snow, which means he'll have an audience with Queen Cersei. The purpose of this meeting of the major players is to discuss White Walkers and present the wight that Jon and his crew had captured in "Beyond The Wall," but would Theon forgo this opportunity to bargain for Yara? While it seems unwise, he may compensate for not saving her before. And since the Dragonpit is located in King's Landing, Yara should be close by — if not chained up and present for the presentation. After all, don't put it past Cersei to taunt Daenerys' allies by showing that Yara is her prisoner.
Another moment in the trailer that could hint at Theon's plan is at 26 seconds where a man collapses to his knees next to a rowboat on the beach. Although it's hard to identify who the person is, Theon is the most likely candidate. Perhaps rather than ask Cersei for mercy for his sister, he leaves the Dragonpit and does a rescue attempt while everyone is distracted. He could be using the same inlet into King's Landing as Davos used with Tyrion and Gendry in "Eastwatch" since it sure looks the same. (Though, to be fair, it could also be Dragonstone.)
Theon is a character who seems to have nine, miserable lives, but those lives might be up as Game Of Thrones winds down. And it would be redeeming if Theon died while saving Yara — and even better if this redemption resulted in Uncle Euron's death too. Yet, with Theon's luck — and with the way he collapses on the beach — perhaps it's more realistic that Yara dies because of Theon's rescue attempt and that he'll have to live on knowing he failed. Either way, the Greyjoys are going to become relevant again in the finale, and it's anyone's guess what may happen.