So, others may have already figured this out, but upon rereading ADWD I've noticed some things I missed the first time around that I think help explain the Theon preview chapter:
First, the obvious that I missed - how is Tycho talking to Stannis? I was unsure from reading the preview chapter (did he just wander around the north until he bumped into him?) but Asha's last chapter in ADWD makes it clear - Jon doesn't know where Stannis is, so he sent him to Stannis's last-known location, Deepwood Motte, with a pair of Night's Watch for protection/guidance. There, Tycho was told that Stannis was on his way to Winterfell, so he ransomed the Ironmen (for more protection, I guess, or just to bring Stannis good warriors) and headed there. Outside the walls, he ran into Crowfoot Umber, who didn't know where Stannis was either, so Tycho just backtracked and looked around until he found him. That much is straight from the text, so far.
Now, the implications: what's the letter on Stannis's desk? It's implied, but I'm pretty sure there's only one possibility - the letter Jon sent warning Stannis about the Karstarks. Jon also sent this letter to Deepwood Motte, Stannis's last-known location, so Tycho must have picked it up and brought it with him. Theon is giggling because he already knows the Karstarks are Bolton men, from seeing Karstark next to Ramsay at the Dreadfort in the first Reek chapter. How he thinks the Night's Watch knows, I'm unsure of.
Next, the location and timing: I had assumed Stannis's location at the beginning of TWOW was unknown - essentially a random small town somewhere in the wilderness. Well, it is, but what I didn't realize (that maybe others did) was that it's the same one. He hasn't moved. The stone tower Theon's in is the same one described in ADWD. We know this not only because of the similar description but because of what must be the timing of this chapter. Asha goes outside after having supper and finds the new men arriving. Tycho tells her he needs to see Stannis and that time is of the essence. Then, in TWOW, we see a pre-breakfast scene (Karstark comes to have breakfast with him). I think the only logical implication is that this is the very next morning and thus the chapter takes place a mere matter of hours after Asha's last chapter in ADWD. Tycho is in a hurry and Stannis assumes he's about to be attacked, and he's also a man of certainty and action - it makes perfect sense for him to agree to take on the Iron Throne's debt basically immediately upon talking with Tycho or at the very least, the next morning. So he can't have moved camp.
So, since we know it's the same camp, we know the basic layout. There's a large frozen lake that's been used heavily for fishing (it mentions at one point that parts of the lake are like swiss cheese from the number of holes in it). Stannis mentions in TWOW that he plans on using the advantage of having the ground he does in order to overcome superior numbers - might this involve something to do with eliminating the ice on the lake or perhaps creating some kind of situation with collapsing ice once the army reaches a certain point on it? Just speculation, but I found it interesting that there was a specific mention of how many holes there were in the ice, combined with a plan to use natural defenses.
Finally, the letter. If it's accurate (a seven-day battle), the last Jon chapter takes place at least one week and more likely several weeks after Asha's chapter. I know Martin's done some mixing of timelines before, but it seems exceedingly strange to me for him to have a chapter taking place one night, then a chapter taking place several weeks later at a nearby location, then go back to the first location for something the morning after that first night. I certainly won't say it's impossible, but knowing the timing of the two other chapters, it seems rather more likely that the last Jon chapter takes place at basically the same time as these. This would fit in nicely with the leading theory about the letter - that Ramsay is bluffing about Stannis and only knows what he knows because he captured at least one of the washerwomen, and possibly but not necessarily Mance. As far as he knows, Theon and Jeyne are at the wall, because the washerwomen told him under torture that their mission was to bring "Arya" back to the wall. So why does he send it? I don't think he's trying to bait Jon into doing something rash. He's an impulsive, rash man who is used to having his commands followed, and he probably thinks lying about destroying Stannis (which Ramsay probably thinks is about to happen anyway) will make Jon think he's without allies. So I think it's just an embellished threat based on what Ramsay knows at the time. Mance writing it, or other theories, are too clever by half.