In regards to story, there’s nothing saying they couldn’t bring Sally from undeath back into her original living comely form. xD Stranger things have happened, right?
As regards to her as a Hero Skin, I know Sally is now a Death Knight, but she still has two Hero Skins as a Priestess: Sally Whitemane and Electro Swing Sally. There’s also a Legendary card of her as Priestess, though it’s no longer in Standard.
As far as her becoming a Hero Skin as a Death Knight, I very enthusiastically agree with you. I made a request about that a while ago, right here:
Technically, it’s a request for all the Horsemen, but it would also be Sally if they actualized the request. I originally just requested Sally, but when I thought about it, I didn’t see the logic in requesting just her when Darion already exists as a Horseman Hero Skin but none of his fellow Horsemen do.