There are a few characters on Game of Thrones that tend to appear and disappear — Gendry comes to mind — and so does Yara Greyjoy. The last time she was seen was in Episode 3, when her uncle was dragging her through the streets of King's Landing. So is Yara dead on Game of Thrones? She hasn't shown up on the finale yet, but personally, I have not given up hope that she'll rise up to raise hell once again.
At the end of Season 6, I literally shouted with joy when Yara took her wayward little brother Theon across the narrow sea with the best of the Iron Fleet to join up with Daenerys Targaryen's ultimate dream team to take back the Iron Throne. Which means I was incredibly disappointed when she got captured and her fleet destroyed in just the second episode of the Season. And I've been even more disappointed now, after having not seen her or heard anything regareding what may or may not have happened to her since. Presumably she's rotting away in some dungeon, but is it possible she's dead? Her brother Theon seems to have (finally) found a bit of courage and is now actively trying to rescue her.
Theon and Yara's murderous Uncle Euron decided to join up with Team Cersei, and cut off their fleet before they really got to do anything. Euron held a knife to Yara's throat after a vicious battle, and instead of leaping into action to save her, Theon leapt off the side of the boat in order to save himself, to his immense shame.
To his credit, Theon did then head to Dragonstone to ask Daenerys for her help in getting Yara back — he met up with Jon instead. He also came to the power summit in the final episode, presumably to meet up with Euron to get her back. Euron teases that he has her, but doesn't get very far. There's been no hint as to whether or not Yara's really alive, except that her body hasn't shown up on screen yet. Luckily, Theon now appears to be ready to really fight to save her. After all, she tried to save him from Ramsey Bolton. The finale dedicated a strangely long amount of time to Theon proving himself to the other Iron Men that he was willing to die to save his sister. And it looks like Theon has finally stopped being Reek. So hopefully it's not all for nothing.