On Game of Thrones, the North has been in contention ever since most of the Starks got scattered to the wind, which left room for the majorly unpleasant Boltons and Freys to seize their chance at power. Currently the Boltons, namely Roose and bastard son Ramsay, are wardens of the North, but that power is tentative. As a Stark, Sansa is important when it comes to them being able to hold onto their power, and the issue now is that Sansa has escaped from Ramsay. The Boltons have already sent men after her, but their efforts won't end there. The trailer for the second episode of Season 6 shows Ramsay suggesting taking action against Castle Black. But why do the Boltons want to storm Castle Black on Game of Thrones?
In "The Red Woman," Roose reminded his son of how necessary Sansa is to their continued control, and how an heir also wouldn't hurt; if Roose has another son, that child would be legitimate and therefore supersede Ramsay's claim on his heritage. That puts Ramsay in a precarious position, one in which he has to do everything he can to secure his place in the succession. Sansa is the highborn daughter of the family that has always held Winterfell and the North, so she's a bargaining chip for him. In the trailer, Ramsay says they "know where she's going," before suggesting they storm Castle Black. The implication is that he's referring to Sansa. He thinks Sansa is on her way to Castle Black, and he wants to go after her.
Viewers know that Sansa is safe (for now) with Brienne of Tarth, but it makes sense for Ramsay to assume she's headed for Castle Black, the stronghold on the Wall where the Night's Watch lives. As far as anyone knows, most of Sansa's family is gone but no one knows Jon Snow is dead yet. As her closest living relative, it would be understandable if Sansa was journeying to the Wall to seek safety with someone she knows.
It would have the added benefit of bringing Ramsay into contact with Jon Snow – if he ends up being revived, that is. There have been rumors of a Battle of the Bastards between Jon and Ramsay later in the season to determine the fate of Winterfell and the North. Ramsay leading the charge against Castle Black might just be the first step that sets those later plans in motion.