Why did the Iron Throne never take Davos’s family hostage? Probably because they didn’t take Davos seriously. A lowborn smuggler upjumped to lord — they certainly didn’t think much of him or that he could do any good for Stannis, let alone that grabbing his family would make a difference. Fighting through uncertain territory to capture merely a woman and two young children for uncertain profit… is just not worth it.
But considering that Aegon and the Golden Company have taken Cape Wrath in their first attack on Westeros, I would not be surprised if we see Marya Seaworth and her sons in TWOW. (Probably in Jon Connington’s POV or Arianne Martell’s.)