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As far as I can tell, this line by Gheed is the only mention of Melra in the game.

The Sister's Burial Grounds is where the Sisterhood of the Sightless Eye bury their dead. When the player is sent there to stop Blood Raven, Kashya tells them

Now, you'll find her in the Monastery graveyard raising our dead as zombies!

Gheed is wondering if Melra is among these undead, so presumably Melra is a dead rogue. Since Gheed knew her, she may have fallen in the recent conflict after the Dark Wanderer appeared at the Monastery, or he may have known her from a previous visit to the area.