[user104658]

Originally Posted by Nathan

But didn't she go the opposite way (Winterfell) to Kings landing though? She was watching those blokes ride off who were going there, thought about it, and went the other way

That was before the "that's not you" scene though. She invited Nymeria to come with her back to Winterfell but the wolf wouldn't come because that's not her any more; she's wild and has her own pack. So it's possible that this made Arya realise that she's not just Arya Stark from Winterfell anymore either, and has her own path separate to the rest of the Starks.

I also think it might be a bit early for Arya to reunite with Jon... She would only have to leave again as her mission is only half finished.

Then again, someone is going to have to kill off Littlefinger soon...