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That theory seems to make sense, in spite of the obvious questions. The Faceless Men are all about illusion and making people see what they want to see, and the Waif couldn't wait to get a hold of Arya....
Moving on to another question I have - Who did that letter Sansa write go to? We all assume it was Littlefinger, but was that really where it went? Why would she seal it with the Direwolf of House Stark if it were to him? I think she sent it to the Umbers or the Karstarks, possibly both. The seal means it's no joke that it's actually from Sansa Stark and she is calling upon those houses to rally to the aid of the surviving Stark heirs. The Umbers have no love of the Boltons. We saw Littlejohn call Ramsay and the Boltons ****s right to his face before he handed over Rickon. Plus, the letter was written right after Jon told Sansa there was no time to go to the Umbers or Karstarks. I think they, along with the armies of the Vale, are Sansa's ace in the hole for taking down the Boltons and whichever house stands with them.
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