You can safely say you do not share dna with Sally but you cannot say that you are not related to Sally ONLY based on the lack of dna sharing. There are two trees involved in genetic genealogy: your genetic or dna family tree and your genealogical family tree. If Sally was claimed to be a 1st or 2nd cousin via your genealogical (paper) tree, and you and your dad did not share dna with her, I would question that relationship. If Sally is claimed to be a 3rd, 4th, or 5th cousin according to your genealogical (paper) tree and you and your dad did not share dna with her, It is assumed to be due to recombination (or the shuffling of dna each generation).
There is a 10% probability of NOT sharing dna with a genealogical 3rd cousin and that jumps to about a 50% chance of NOT sharing dna with a genealogical 4th cousin.
So if Sally is supposed to be anything greater than a 2nd cousin, and she appears on your genealogical tree, I wouldn't discount the relationship just because you share no dna.
Hope that helps!