Shae deserved better too.
What if Shae went with Sansa? Maybe she’d been waiting on her at the Purple Wedding, instead of running away or being bought/threatened/forced by Tywin. So when Ser Dontos comes to spirit Sansa off, Shae follows and insists on going too and Baelish is forced to agree because killing Shae now would only make Sansa run from him.
They are together for everything and Shae watches as Sansa is forced to harden herself and does her best to be there for her, while she realizes that Sansa has started protecting her back.
Shae encourages Sansa to run when Petyr tries to marry Sansa to the Boltons. Sansa, with a firm ally, agrees, they meet up with Brienne and Pod, Sansa accepts Brienne’s services.
They make it to the wall, and eventually, Jon. Sansa and Shae start building an army, Jon is stronger with Sansa beside him, who has been beside him since before he got murdered. So they are more crafty gathering allies, Sansa and Shae manage to get a message to Lord Royce past Baelish and Petyr finds himself dumped out the moon door.
Howland drops his bombshell, Sansa and Jon agree to marry, after they retake Winterfell. Also Rickon survives. They do one more thing as well. Sansa takes the maidens cloak, the Stark wolf worked in exquisite detail, and calls Shae before her. She tells her that she had been her loyal companion and dearest friend these many years and it would honor all the Starks if Shae would allow them to call her sister.
Shae’s crying a bit as she nods and Sansa and Rickon each place the stark cloak on Shae’s shoulders, and Jon’s first official act as King in the North and true heir to the Iron Throne is to declare Shae a legitimate Stark.