My first guess is that they just fucking dump him in a ditch somewhere, and he wakes up with no money, no balls, and nobody who cares

My second is that Yara gets wind of what's going on and saves him. She seems the type who might not put up with her brother being tortured. Balon might reject, but she also might tell him to go fuck himself. She may or may not have that power. It works a little better with my leech theory where Balon comes down with some stomach flu poison or something.