My sister sent me money, but it won't go to my Apple Pay

Specifically, it is Apple Cash that must be set up if that is what was used to send money through the Message app.

Set up Apple Cash - Apple Support

If you do not have Apple Cash set up or are unable to set up Apple Cash within 7 days, the money will be returned to her.

You have to set up Apple Pay to receive it

Set up Apple Pay in Wallet on iPhone - Apple Support

How did she send the money?

Where do you want it to go?

If she used Messages it can only go into Apple Cash, and nowhere else.

click here ➜ Send and receive money with Apple Cash - Apple Support