If NB and June were shot in the main bedroom? Where was Sheila and how did she get into the main bedroom? Why was June walking round the bed and not heading for the door? Still many questions unanswered. 
Sheila was in bed as June and Nevill were shot.
There is no way to know for sure whether she stayed in bed till Jeremy woke her up or she woke up on her own at some point and left her room.
She still could have been in bed when Jeremy came up from the kitchen after killing Nevill or could have woken up and walked in the hall and went to see June's body. If so and he came back up as she was there then she could have run to the other side of the bedroom to try to get away from Jeremy.
It is just as possible though Jeremy marched her to the other side of the bed at gunpoint because he needed enough room to fit her and him in the area where he planned to stage her death. Killing her with June's body in the way wasn't ideal quite clearly. Killing her in her own bedroom would not be idea either because then it would look like everyone was shot in their own rooms like someone went room to room killing them all including Sheila. Killing her in a different room helped further the notion she did it.
If Sheila were up a long time she would have seen her mother's body then ran to check on her kids and probably try to wake them up and fell with them. So logic suggests if she did wake up she only managed to see June and didn't have time to check on her kids before Jeremy returned.