So basically, this guy just freed Theon and killed some guys so that he could bring him back and make himself look like a hero? Is that what is going on here or am I missing something?
I know that you did your research, but just pretend that you didn't research outside of the show. If you just go by the show, here are some of tidbits that may clear up the confusion, especially if you rewatch the seasons:
Season 2 Episode 6 - Roose Bolton says "Let me send word to my
bastard at the Dreadfort. He can raise a few 100 men and retake Winterfell before the new moon. My
boy would be honoured to bring you Theon's head."
Robb says "Theon, I want him brought to me alive."
Season 2 Episode 8 - Robb tells Roose Bolton "Any Ironborn who surrender will be allowed to return safely to their homes. Any Ironbord with the exception of Theon Greyjoy."
Season 2 Episode 10 - Theon is surrounded and his own Ironborn men knock him out and take him. The main Ironborn guy, Dagmer, says "Let's go home".
Season 3 Episode 2 - Theon is tied to an X-shaped thing and tortured with questions and stuff. The
boy who's sweeping tells him that he'll free him.
When Robb is arguing with Karstark, you can see the Bolton's sigil (flag) with the Flayed Man, which resembles an X - just like that X-shaped thing that Theon's tied to. When the Bolton men find Jaime and Brienne and ride towards them, you can see those sigils again.
Season 3 Episode 3 - The
boy that freed Theon tells him that "we're not in the Iron Islands". When Theon is surrounded by his captors and then the
boy kills them with his arrows, the main captor tells that
boy "you little
bastard".
After reading this, people who are unaware can form their own conclusion and see if they turn out to be right when Theon's mysterious captors are fully revealed in terms of dialogue and stuff.