When Robb declared himself KITN, the Riverlands were included in his kingdom, but what about the Iron Islands and the Vale? Did they get shunted into his kingdom as well, courtesy of being farther north than the Riverlands border, or would they still be considered part of the southern kingdoms?

Well, that’s the sticky wicket. Robb certainly wanted them to join his revolt, but neither the Vale nor the Iron Islands had acclaimed him King. Certainly Lysa Arryn could have done so had she wished to, and there were lords of the Vale who might have gone along with it with various levels of enthusiasm. As for the Iron Islands, Robb was careful to recognize them as an independent and equal kingdom, but it’s quite likely that Robb would have wanted to marry a Stark into the Greyjoy monarchy to bind their houses together.  

This might have created a difficulty down the road – if the Valemen decide to acclaim a King of the Vale and Mountains, Robb doesn’t really have a leg to stand on to not recognize him, and probably wouldn’t want to. Which means now Robb is primus inter pares of a Federation of the North, with the Riverlands inexplicably in subordinate status. So down the road, if Robb’s alliance had held, you might have had a move to have a Riverlander king.