Theon's emotional scars weren't healed by a single pep talk from Yara
Theon Greyjoy has had a rough go since betraying his benefactors, the Starks, and pretending to have burned alive two Stark children in a failed attempt to secure Winterfell. Ramsay Bolton applied his talent for vivisection to a captured Theon, eventually depriving him of not just his most prized body part (ahem), but also his previous identity as Theon. He became Reek.
Finally Theon manages to do the right thing by helping out Sansa and escaping from Ramsay's grasp, to reunite with his long-lost sister, Yara. When Yara (who along with Theon is leading a breakaway band of Greyjoys in opposition to their Uncle Euron, as sadistic and powerhungry as they come in GoT) gives him an emotional pick-me-up speech, the gist of which is, "If you're gonna be a crybaby because some guy cut off your genitals while you were still living and sent them to your family, you might as well end it all," you may have raised an eyebrow or two. Will Theon, who once was so beaten down that Ramsay Bolton gave him The Color Purple treatment, finally stand up and fight when his sister needs him most?