The Stark direwolf that survives in the novels but is killed much earlier in Game of Thrones season 6 is Shaggydog.
Shaggydog belongs to Rickon Stark, the youngest Stark child. In the novels, Rickon and his direwolf are separated from Bran’s group and eventually taken to the island of Skagos, where they remain part of an unresolved storyline. The published books have not shown Shaggydog’s death; as with several major plotlines, his ultimate fate remains unknown.
The television series takes a different route. In season 6, Smalljon Umber presents Ramsay Bolton with Rickon and the severed head of Shaggydog as proof that the boy is really Rickon. The revelation occurs in “Oathbreaker,” well before the later Battle of the Bastards, where Ramsay uses Rickon as bait.
Shaggydog is not Summer or Grey Wind: Summer belongs to Bran and dies defending him from wights, while Grey Wind is killed during the Red Wedding. Lady, Sansa’s direwolf, dies much earlier in season 1.