I believe all the direwolves are, or will be, killed off on the show. Saves on the CGI.
Nymeria (arya's) may be the only one left alive on the show continuity, and I think the show is just going to forget about her. In the books Nymeria is mentioned in passing several times.
In the books and subsequently in the show, the death of the direwolf tended to spell struggle or trouble for the character - Lady (Sansa's) is the first to bite it and BAD THINGS happen to Sansa.
Will be interesting to see where they take the Jamie/Cersei thing since Jamie has already killed one person to try and burn down KL.