When they enter the castle, the man lights a torch to reveal he has taken Theon back to the dungeon from which he helped him escape, and tells the men there that Theon killed his captors and escaped, but he brought Theon back.
Theon killed his captors. This was to reveal he has taken Theon back to the dungeon from which he helped him escape, and tells the men there. Theon escaped. This was to reveal he has taken Theon back to the dungeon from which he helped him escape, and tells the men there. The man lights a torch this. They enter the castle. He brought Theon back.