As already said, she's got to get pregnant, so it can't be played by a man in drag. It could be played by a male actor playing a female (a la Edna Turnblad) but... I dunno, what's the point?
The gender-bend works with the Emcee because it's already such an ephemeral role -- can be anyone, anything. No identity, almost.
Also, if Sally were a man in drag, that'd take away from the point made by fact that Cliff is with Sally, yet also exploring with men -- he'd be far less ambiguous if he were with no women at all.
A work of art is an invitation to love.