Question: We could see that Theon Greyjoy helped Sansa Stark escape from Winterfell which was under Ramsay's control by jumping off the wall. The outer wall is said to be about 80 feet high. How did both of them survive jumping from that height? It is highly unlikely to survive that jump even if there was snow.

Answer: 
Covered at this Physics.SE question: <https://physics.stackexchange.com/questions/167077/freefall-into-snow>

Yes: You can do it.

No: It won't kill you.

It does however depend on factors such as how much snow there is, is it powder or compacted, whether the landing is steep or flat. Falls of 100 feet or more are noted in comments.
There may have been some water in a moat that's frozen over, so they hit the snow then they hit they hit water too slowing their fall. Would have been very wet though.