One evening, she went to fetch her lamb as every other day, but the rope had been cut and the sheep had gone.
“God, someone stole my sheep.” She cried soa natural?

@Xiaochun: You should use either lamb or sheep, not a mixture of both. This makes it easier for the reader to understand that the lamb she went to fetch is the same one that she claimed to have been stolen. It would be better to use "lamb" as it is more descriptive by indicating that the sheep is still young.

Also, rather than "had gone", you should say "was gone". By saying "had gone", it implies that the lamb had left on its own accord. Saying "was gone" simply means that the lamb was no longer there, regardless of what caused that to happen.

I hope this helps!