Not even midnight, post-finale, and already I see this in my search terms:
“did Sansa and Theon commit suicide”
I’ll answer your question: that moment was a direct derivation from the books. Theon took Jeyne Poole in a jump off the wall of Winterfell in A Dance With Dragons, the idea being they’d rather die quickly from a fall than let Ramsay get to them again.
And I’ll tell you what happens in the book: Theon and Jeyne survive the fall. Jeyne gets some nasty frostbite on her nose, but the snow was so deep, the impact didn’t bother them. They walk away from that fall.
They don’t get very far before they end up in King Stannis’s camp, and clearly that’s not an option for Theon and Sansa on the show, but I’m fairly sure they DO survive the jump.