Personally I think feeling all sentimental and bringing the "poor thing" into your flock will likely cause you many more problems in the long run - scab, footrot, lice, resistant worms, enzootic abortion, MV etc the list of potential hazards is actually quite long.... And most farmers cannot be bothered with persistent escape artists.... if nobody has a sheep missing locally it is most likely that she (or he?) is not going to be missed and in the interest of biosecurity the best thing indeed is to have her culled. You may do someone a favour by saving them the bother. I personally will not keep any sheep that jump/escape etc (despite good and maintained fences of course).