Pretty sure this is what the Hound's vision was all about. They might try and go around it via Eastwatch-by-the-Sea.
Also, I don't think Arya is actually going to go South. Surely, she will soon hear of the resurgence of the King in the North. Looks like she may bump into her long lost direwolf Nymeria nest episode, going by the preview. This will probably remind her of family and ties into the Sansa quote: "When the snows fall and the white winds blow, the lone wolf dies but the pack survives."