Theon is brainwashed and scared out of his mind. When she showed up, he thought it was a trick or something, and even though it was his sister, he still didn't trust it was real. Last season between when he was tricked into beleiving he was "rescued", and him getting that blue balls treatment before losing his junk, he doesn't trust anything good that is happening to him is actually good. Even when Ramsay gave him a bath, he didn't think it was genuinely going to be safe and just a bath.
His sister coming is as real as an escape scenario could get and he was still too scared. No one can rescue him at this point.