The character of Sally as it is known today actually stems from the English name of one of Sonic's friends he rescues from Badniks in Sonic the Hedgehog. Known as Ricky/Rikki in Japan, in the west this character was renamed Sally Acorn. The name was later used for the character in cartoons and comics.
Sally appears in her animated appearance in Sonic Spinball and in one of the many canceled Sonic game projects (known as "Sonic-16").
The U.S. manual for the Sega CD version of Sonic CD calls Amy Rose, Sally Acorn in an attempt to link the continuities together. This is not used in any other release of the game, American or otherwise.