Our vet checked her over, and she's actually now back with the flock and doing fine. The only thing that they noticed on her was where he had obviously tried to grab her while he was wrestling her down. He removed a couple handfuls of wool, right down to the skin.
The next day they noticed that there was a blanket in the sheep barn and some sticks. A candle was found yesterday afternoon on top of a heater in the barn.