Was Robb Stark aware of Theon's torture, or even his capture by the Boltons. I have not seen the TV series explicitly state he was ignorant. Do the books offer any insight? Or did I miss something?
He was aware. During the quote in @TheLethalCarrot's answer, he might not have been at that time, but later on he did. When the Stark army joined the Bolton army on their way to the wedding at the Twins, Roose Bolton gave them the following gift:
Roose Bolton removed a ragged strip of leather from the pouch at his belt. "My son sent this with his letter."
Ser Wendel turned his fat face away. Robin Flint and Smalljon Umber exchanged a look, and the Greatjon snorted like a bull. "Is that . . . skin?" said Robb.
"The skin from the little finger of Theon Greyjoy's left hand. My son is cruel, I confess it. And yet . . . what is a little skin, against the lives of two young princes? You were their mother, my lady. May I offer you this . . . small token of revenge?"
Part of Catelyn wanted to clutch the grisly trophy to her heart, but she made herself resist. "Put it away. Please."
"Flaying Theon will not bring my brothers back," Robb said. "I want his head, not his skin."
"He is Balon Greyjoy's only living son," Lord Bolton said softly, as if they had forgotten, "and now rightful King of the Iron Islands. A captive king has great value as a hostage."
"Hostage?" The word raised Catelyn's hackles. Hostages were oft exchanged. "Lord Bolton, I hope you are not suggesting that we free the man who killed my sons."
"Whoever wins the Seastone Chair will want Theon Greyjoy dead," Bolton pointed out. "Even in chains, he has a better claim than any of his uncles. Hold him, I say, and demand concessions from the ironborn as the price of his execution."
Robb considered that reluctantly, but in the end he nodded. "Yes. Very well. Keep him alive, then. For the present. Hold him secure at the Dreadfort till we've retaken the north."
A Storm of Swords - Catelyn VI
This shows that he was aware that Theon was at the Dreadfort, alive and (sorta kinda) well. It also means that he knows that Theon is getting tortured there.
I don't have time to write up a full answer to this (will tomorrow) but in the show nothing implies that Robb knew what happened to Theon. In the books, however, it appears as though Robb and Catelyn both seem to assume he's likely dead.
Robb's hands curled into fists. "I must get back to the north. My brothers dead, Winterfell burned, my smallfolk put to the sword... the gods only know what this bastard of Bolton's is about, or whether Theon is still alive and on the loose. I can't sit here waiting for a wedding that might or might not happen."
No sooner had he left the king's pavilion than the Greatjon began to laugh, but Robb silenced him with a look. "Euron Greyjoy is no man's notion of a king, if half of what Theon said of him was true. Theon is the rightful heir, unless he's dead... but Victarion commands the Iron Fleet. I can't believe he would remain at Moat Cailin while Euron Crow's Eye holds the Seastone Chair. He has to go back."
A Storm of Swords, Catelyn IV