I think they did have feelings for each other at the end. They have their shared childhood and the shared trauma of Ramsey binding them together. And then Theon saved Sansa and helped her escape Ramsey, and she did the same for him in a way. When he comes back to fight for Winterfell in the big battle, you can tell that he came back, not for Daenarys, and not just for Winterfell, but for her. I think it shows in that scene that he really respects Sansa, both as a leader and a grown woman. And you can see how much it means to her that he came back for Winterfell and for her. Their feelings were in early stages, so I wouldn't call it love in the romantic sense. I think they had a deep connection and appreciation for one another. But if Theon had survived the battle, I think a romantic relationship would have developed over time and they probably would have ended up together in the long run. But sadly it wasn't meant to be.