Pneumonia can be brought on by stress esp pasteurella. It could also have been CCN, even though it is usually covered a disease of youngstock, I have only ever lost adult sheep to it. (a pregnant ewe this last winter, though we don't pm our sheep, so it may not have been that at all).
It will probably be a mystery, but things like barber pole worm don't always show up in FEC's and may explain the pale gums (as would fluke, not sure you have that in your part of the world though).