However, there are also implications that she is still alive and was possibly rescued by Alliance from the depths of the Undercity dungeons from excerpts in the player guides.
All in all, there is still no factual proof of her status or current whereabouts.
I personally think it would be awesome if she was to make a return and become involved in the plight of the Forsaken race AS some form of Forsaken herself, particularly when the developers appear to be moving in a direction that does not bode well for Sylvanas' continued well-being.
Picture this: after the death of her father, she was captured by her brother and held prisoner in the depths of the newly-built Undercity. Instead of killing her, some part of him resists in spite of Ner'Zhul's influence on his mind. To cover his intentions, he instead resorts to tormenting her via experiments with the Plague on the basis of creating new powerful forms of the Scourge. By combining his own power with that of the Plague, he prepares to infuse her with it. As he begins, her pleas to him begin to break down his coldness in spite of his efforts to hide it. In that moment, a portion of the old Arthas breaks out and the Light answers his call in that brief moment, bathing his sister in light in a misguided attempt to reverse what he had done. When the Light fades however, he is stunned to discover his sister Calia has become an entirely new form of undead like Bolvar eventually became. With the Light disrupting the regular process, she retained all her free will and became something not dead, but not quite alive either. Incredibly, this fusion allowed her to actually wield the powers of the Light without the pain and agony normally associate with it amonst undead, which was unheard of.
Before he could learn further, the Lich King called him to Northrend to defeat Illidan and fulfill his destiny. Thus Calia languished, forgotten, in the deep catacombs unbeknownst to the Dreadlords during the Civil War in the Plaguelands. When Sylvanas took the Undercity and began to dredge out the lower levels and expand them, Calia's cell was discovered and Sylvanas immediately decided to examine this unusual undead creature for herself. At first astounded that the Light could function in an undead without harming it in the fashion her Shadow Priests were forced to endure, all consideration into her being a potent ally vanished when she discovered Calia's true identity. With a thrill of horror, she realized this unusual creature was not only the sister of her most hated enemy, but also the rightful ruler of her Forsaken and thus a direct threat to her rule.
Making a decision, she instead banished her to a secret cell in the depths of the prison, ensuring that no one, not even her lieutenant Dreadlord, knew about her existence save her. Over the years, Sylvanas occasionally visited the cell and tortured Calia as a form of spite to punish her most hated enemy thru his sister while taunting her with snippets of news regarding her lost brother and the fate of her people. Thus Calia Menethil learned all that befell the world since her incarceration over the years and bemoaned the tragedy that had befallen her kingdom. Believing Sylvanas at first to merely be misunderstood and hurt, she attempted to reach out to her to no avail. Over the years, she slowly recognized the monster that had subverted Sylvanas' noble spirit and a deep hatred began to fester...
Recognizing that the Banshee Queen would lead her people to destruction if left unchecked, she knew she had to escape if she was to have any chance of saving them. But no matter what she tried, all avenues of escape seemed to be closed to her. She began to despair of escaping altogether when the tumultuous events of the Undercity rebellion happened. By chance, a mortar shell from the beseiging forces penetrated several layers thru rotting framework and fractured her prison. Seeing this as her last best chance, she managed to break her cell open and immediately freed as many prisoners as she could, as the prison block was left unguarded during the riot. During the chaos, she and the rest of the prisoners were able to quietly mingle with the rest of the refugees and escape unnoticed from the Undercity.
After the rebellion was put down and Sylvanas returned from Northrend from killing the Lich King, she decided it was time to end the charade and put an end to the troublesome sister and stamp out Arthas' legacy forever. But upon reaching the prison cell, she saw with a thrill of horror that it was empty. Fearful that the freed Calia could incite rebellion and cause another civil war, she decided to occupy the Forsaken's energies on conquest while sending out her Dark Rangers to hunt down and eliminate her at all costs.
Now Calia, the last Queen of Lordaeron, watches from the shadows and plots for a way to save her people from the one who would turn them into slaves and ride them to destruction. Constantly hunted by Sylvanas' Dark Rangers and the Deathguard, she and her followers nevertheless perservere and continue to fight the Dark Lady's hold over the Forsaken. Alliances will be made. Soon a battle for the soul of the Forsaken will rage, with the forces of darkness on one side and the forces of light on the other. The stage is being set for a confrontation of epic proportions, for if one is to stand, the other must fall...
*Calia Menethil says: "I'm Calia Menethil and I approve this message!"*