Kyra was a daughter of a blacksmith and a servant of House Bolton.
While giving Sansa Stark a bath before her wedding to Ramsay Bolton, Myranda advises her to not let Ramsay get bored of her or she will "end up like the others." When Sansa asks Myranda what others she is referring to, Myranda first mentions Kyra whom she describes as being tall with a lovely figure but she talked endlessly until Ramsay grew tired of it. Myranda also mentions Violet and Tansy.
In the books
In the A Song of Ice and Fire novels, Kyra is a tavern wench in the Winter town just outside of Winterfell. While taking Bran Stark out riding for the first time after his legs are paralyzed, as they pass through the town, Theon Greyjoy calls out to Kyra and makes her blush, implying that she is one of his favorite lovers. After Theon captures Winterfell, he brings Kyra there from the town and keeps her as his bedwarmer/mistress.
The TV series omitted Kyra and gave her brief appearances in the first novel to the invented character Ros: it is Ros who is seen having sex with Theon, and when Theon and Robb take Bran out riding in Season 1 episode 6 "A Golden Crown", it is Ros that Theon runs into, though in the TV version it is because she is on the road to leave Winterfell to look for work in King's Landing.
As Theon's position at Winterfell worsens, he becomes furious and frustrated, and takes it out on Kyra: he sends for her, kicks shut the door, climbs on top of her, and takes her brutally with a fury he’d never known was in him. By the time he finishes, she is sobbing, her neck and breasts covered with bruises and bite marks. Then he shoves her from the bed and tells her to get out. It is unclear if she survives the Sack of Winterfell until her fate is revealed in A Dance with Dragons:
When Ramsay burned Winterfell he put most the men to the sword, and took back to the Dreadfort Theon, Lord Frey's two grandsons present in the castle as wards, and seven female captives: Kyra, Palla, Old Nan, Beth Cassel (Ser Rodrik's daughter), Turnip, Bandy and Shyra. Of those seven captives, the books reveal only what Ramsay did with Kyra:
One of Ramsay's habits is to release girls, one at a time, into the woods outside the castle, naked and unarmed, and then hunting them for sport with his bow and hunting dogs (known as the Bastard's girls), then raping them and flaying them alive after recapturing them. If a girl gave him a good hunt, he would "reward" them by slitting their throats before flaying them (but after raping them), and then "honor" them by naming a new hunting dog after the girl whenever they produced a new litter.
Early in Theon's captivity, before he suffered the worst of his mutilations, Ramsay tricked Kyra into making an escape attempt and convincing Theon to go with her. Little did they know that Ramsay let them escape simply to crush their hopes when he recaptured them; he was already waiting on horse with his hunting dogs.
All night they ran through the darkling wood, but as the sun came up the sound of a distant horn came faintly through the trees, and they heard the baying of a pack of hounds. Theon told Kyra they should split up, that at least one of them could get away, but she was crazed with fear and refused to leave his side, even when he swore that he would raise a host of ironborn and come back for her if she should be the one they followed (it is doubtful he'd have kept his promise).
Within the hour, they were taken. One dog knocked Theon to the ground, and a second bit Kyra on the leg as she scrambled up a hillside. The rest surrounded them, holding them there until Ramsay rode up with his huntsmen. He said mockingly “There you are. You wound me, wandering off like this. Have you grown tired of my hospitality so soon?”. Kyra seized a stone and threw it at his head. It missed by a good foot, and Ramsay smiled “You must be punished.”
Theon remembered the desperate, frightened look in Kyra’s eyes, but there was nothing he could do. "She brought them down on us", he thought. "If we had separated as I wanted, one of us might have gotten away". Ramsay raped and killed Kyra. Some time later the hunting dogs had a new pup, and he named it "Kyra".
The fate of the remaining six female captives is unknown. They do not appear or mentioned in the novels following "A Clash of Kings", only mentioned in the appendix of the fourth novel as held captive at the Dreadfort. Perhaps they suffered the same fate as Kyra or killed in another of Ramsay's "games", but it is uncertain.
All of this was explained retroactively in the fifth novel. The TV series simply showed Theon's torture by Ramsay in Season 3, and loosely adapted the point where Ramsay psychologically tortures Theon by letting him make fake escape attempts only to recapture him again, though Kyra's role was entirely omitted.
The mention of Kyra in Season 5 is a brief nod to the role she had in the novels.