Although it is not explicitly said in the text of A Dance with Dragons, the fact that Davos’s skills as a sailor are needed makes it plain it’s somewhere accessible by sea. More importantly, Davos’s reaction to learning where—he considers asking to be imprisoned again—and the statement that it’s a place “where men were known to breaking their fast on human flesh” (V: 393) immediately calls to mind detials revealed in A Feast for Crows about the island of Skagos. Details which, in an earlier chapter, Davos himself refers to: “... the galleys Oledo and Old Mother’s Son had been driven onto the rocks of Skagos, the isle of unicorns and cannibals where even the Blind Bastard had feared to land.” (V: 125)
Why Rickon was taken to Skagos by Osha, given its dark reputation, remains a mystery.