First of all, this review is not spoiler free. This review is a fucking spoilerdom! Proceed with caution.
First of all, we started thinking Sansa is pregnant because she said " I can still feel what he did, in my body, standing here, right now." during her speech to Littlefinger.
Now, we have Ramsay telling her that she could never kill him because he's part of her now. This is the part where everyone surmises that he was referring to his child.
However, what she answered after that was the one that confirms it for me.
Your words will disappear.
Your house will disappear.
Your name will disappear.
All memory of you will disappear.
This quote leads me to think that she is referring to their child. Which she will name as a Stark and his child will never know the name Bolton and will never know Ramsay. His house will disasppear as there will be no more heir and his words will disappear because no one will ever remember him.