While giving Sansa a bath before her wedding to Ramsay, Myranda advises her to not let Ramsay get bored 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 out riding for the first time after his legs are paralyzed, as they pass through the town, Theon 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.
There is no mentioning in the novels that Kyra is chatty; her father's occupation is not mentioned either. The only thing she has in common with the show character is being one of Ramsay's victims.
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's episode "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 burns Winterfell, he puts most the men to the sword, and takes 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 has done 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 suffers the worst of his mutilations, Ramsay tricks Kyra into making an escape attempt and convincing Theon to go with her. Little do they know that Ramsay lets them escape, as a game, simply to crush their hopes when he recaptures them; he is already waiting on horse with his hunting dogs.
All night they run through the darkling wood, but as the sun comes up, the sound of a distant horn comes faintly through the trees, and they hear the baying of a pack of hounds. Theon tells Kyra they should split up, that at least one of them can get away, but she is crazed with fear and refuses to leave his side, even when he swears that he will 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 are taken. One dog knocks Theon to the ground, and a second bites Kyra on the leg as she scrambles up a hillside. The rest surround them, holding them there until Ramsay rides up with his huntsmen. He says mockingly "There you are. You wound me, wandering off like this. Have you grown tired of my hospitality so soon?". Kyra seizes a stone and throws it at his head. It misses by a good foot, and Ramsay smiles "You must be punished." Ramsay rapes and kills Kyra. Some time later the hunting dogs have a new pup, and Ramsay names it "Kyra".
Theon remembers the desperate, frightened look in Kyra’s eyes, but there was nothing he could do. "She brought them down on us", he thinks. "If we had separated as I wanted, one of us might have gotten away".
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.