Or, at least according to the director and the writers, they haven't figured out how to fit her in. Regardless, sounds like she was never part of the plan this season.

http://www.avclub.com/article/game-thrones-explains-why-character-wasnt-finaleyo-205870

Game Of Thrones director explains why that character wasn’t in the finale—you know the one

Chief among complaints about last night’s Game Of Thrones finale—complaints that give away major events for those who, like me, have yet to read the books (and who therefore would consider this a SPOILER; so, just to make clear, these words constitute a lengthy, yet obviously necessary preamble to help you avoid reading things that you don’t want to, and leave the decision of what and what not to read entirely up to you) but are nevertheless reading and writing articles about it today like it’s their job—was the absence of Lady Stoneheart, a character who makes her first appearance in the epilogue to George R.R. Martin’s A Storm Of Swords. The resurrected, zombified version of Catelyn Stark that will now no longer be a surprise to me was expected by many to pop up this season, not least because Lena Headey’s spoiler-filled Instagram seemed to hint at it. But of course, she did not, and today director Alex Graves is making the rounds to explain why.

Speaking to Vulture, Graves said that he first asked aloud about Lady Stoneheart during his third-season episode featuring Beric Dondarrion—the Brotherhood Without Banners leader who is Lady Stoneheart’s creator—only to have showrunners David Benioff and Dan Weiss say, “Oh, yeah, you know, that’s a whole thing that we’re just not sure what we’re going to do about.” As Graves tells both Vulture and Entertainment Weekly, they’re still unsure. “It was never going to be in the season,” he says, “yet it took off on the Internet like it was going to happen.”

Besides wanting, as always, to upset the Internet, the Game Of Thrones team had other reasons for keeping the character out of play. They already had a whole mess of concurrent storylines to keep track of, for one thing, but also: “To bring back Michelle Fairley, one of the greatest actresses around, to be a zombie for a little while—and just kill people?” Graves says to EW. “It is really sort of, what are we doing with that? How does it play into the whole story in a way that we’re really going to like?”

As to whether they’ll figure out a satisfactory way to incorporate Lady Stoneheart by next season, Graves doesn’t know—or, at least, he’s very good at insisting that he’s been kept in the dark. In the meantime, he also offers his thoughts on The Hound’s fate (“as I told the story … he’s gone. How is he going to survive that?”), those five expensive days it took to shoot that skeleton battle sequence, and some other things that won’t give away any major events for non-readers, like a character coming back as a zombie.