Don't you love it when Theon has been so mistreated, tortured and abused all his life that he doesn't even feel human anymore (and thinks of his past self as if he was a stranger)
The other man had been a good rider, but Reek was uneasy on horseback. It had been so long. He was no rider. He was not even a man. If I might ask … why did you want me? I’m no use to anyone, I’m not even a man, I’m broken
And when he remembers he is human, it's because he identify with a broken one.
A ruined man, a ruined castle. This is my place.
Or a dead one.
There are ghosts in Winterfell, he thought, and I am one of them.
At some point though, this broken young man finds the strength to rebuild an identity from pretty much nothing (since everything he had been given has been ripped away from him) and focuses on what's important: his true name, Theon (Let me die as Theon), his birthplace, the Iron Islands (A son of Pyke, of the Islands), and the only person who could have loved him for who he was, Robb (I should have died with him).
Let us remember than despite all his weaknesses, Theon showed an incredible strength in the end and that Theon himself couldn't completely forget who he was despite having embraced another identity for so long in order to survive.
I must not let him drive me mad. He can take my fingers and my toes, he can put out my eyes and slice my ears off, but he cannot take my wits unless I let him.
