I wonder. In the books, Caitlyn II is entangled with Brienne and presumably Jamie, who are both trying to keep their vows to her. It becomes a question of just how much violence the tv writers are prepared to do to the book narrative, and whether Martin is giving them enough guidance. We know there has been, and will continue to be, divergence in the story lines. The question is, how much.
Caitlyn II plays an important role in the books, but she might not be that critical in the overall story. Each season only has 10 episodes, so they have to pick and choose what to include. I guess we’ll see. If she returns, I don’t think it will be season 6.