The use of tethered Unmanned Aircraft Systems (UAS) in aerial robotic applications is a relatively unexplored research field. This work addresses the attitude and position estimation of a small-size unmanned helicopter tethered to a moving platform using a multi-sensor data fusion algorithm based on a numerically efficient sigma-point Kalman filter implementation. For that purpose, the state prediction is performed using a kinematic process model driven by measurements of the inertial sensors (accelerometer and gyroscope) onboard the helicopter and the subsequent correction is done using information from additional sensors like magnetometer, barometric altimeter, LIDAR altimeter and magnetic encoders measuring the tether orientation relative to the helicopter. Assuming the tether is kept taut by an actuated device on the platform during the system operation, the helicopter position is estimated relative to the anchor point. Although this configuration avoids the need of a GPS, a standard operation mode for estimation of the absolute position (the position relative to the inertial reference frame) incorporating corrections with the GPS position and velocity measurements, is also implemented in order to highlight the benefits of the proposed tethered setup. The filter performance is evaluated in simulations.