Celia Imrie filmed her role in a day, and said that she accepted the part, even though it was small, because Woody Allen was such a "legend". Her scenes with Sir Anthony Hopkins, however, never made it into the final cut.
The trivia item below may give away important plot points.
The line that Roy uses to court Sally ("So much depends on a red wheelbarrow glazed with rainwater beside the white chickens") is actually a poem by William Carlos Williams. It's unclear whether Sally's character knew that or whether Roy stole it for himself (setting up a bit of foreshadowing).