The Daily Mail has posted photos of Alfie Allen on set and in character. In the seen, he’s arrived on what is quite possibly a beach at Dragonstone. he has several Ironborn with him, when he is confronted by Jon, who grabs him by the shirt, far from pleased.
Yara, (Asha in the ASOI&F novels), is not in this scene, so it’s unknown whether Theon travels on his own to meet Jon before the battle, asking for help, or if he has deserted his sister after a failed battle.
Reddit user /awayforthelads/, in a now deleted post, (and account), which contained what he/she claimed to be the spoilers for all of Season 7, claimed Yara’s fleet was destroyed by Euron’s, with Theon leaving her in her greatest time of need. Unclear as to how Dany would have made it relatively unscathed to Dragonstone, and Theon looking no worse than he had before.
Image credit: The Daily Mail