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.
In World War II, multiple pilots survived falls of not just 100 feet, but over 18,000 feet without a parachute. If my memory serves correctly, the true story *Under the Wire* by William Ash (and Brendan Foley) tells at one point how William Ash met a Soviet prisoner-of-war who had fallen more than 20,000 feet from his bomber aircraft and survived by plunging into snow.

Additionally:

* Nicholas Alkemade apparently survived falling 18,000 feet into pine trees and soft snow.
* Alan Magee fell 22,000 feet and through the glass roof of a railway station, surviving but with many injuries.

There are plenty more examples.