I imagine something he says to her gets her that upset just before he's about to take off for the Stannis camps. She does look very upset in that scene however - more than her usual stoic faces so she's obviously being tormented further somehow.
It could just be the same flayed corpses he strung up recently from the Lord who refused to pay taxes to Ramsay. That wasn't that long ago... though they'd be frozen solid by now. Maybe Ramsay's doing a repeat of Joffrey and making her look at them to show off his handiwork? Not very creative - she's already been tormented that way before.
There will be talk of settling the Wildlings in "the Gift," and Stannis and his army will be traveling through there as well. But, I'm expecting a lot of unpleasant "gifts" of people and their lives. Mel will want to sacrifice Shireen to the Lord of Light. Olenna will try to give the High Sparrow and "the gods" the gift of Cersei in exchange for her grandkids. Mr. Ekko may give Tyrion to Dany...maybe? Ramsey will give Sansa the gift of someone flayed...dear gods, don't let it be Brienne or Pod!
And then we have people with gifts that could be on display. Jorah will display his gods-given gift: combat. Jon will display his gods-given gift: warging.