if my mother tells me that she and Dad spent the afternoon going through their old music, I don't correct her and tell her that Dad died last year. I'm grateful that she invented a memory that makes her happy.
On the other hand, if she is worried because she thinks she hasn't heard from Dad in weeks and she thinks he has abandoned her, I tell her the truth, or modify the truth and say he's recuperating from heart surgery but he would call her if he could.
In your sister's case, you might have to weigh whether she'll remember what you told her. It might cause more worry to hear that her ex-husband is going to pick her up and take her home if she remembers that, but then it never happens. On the other hand, I don't see any down side to telling her that her parents are traveling, or whatever, and doing well.
Your sister likely won't remember what you say, but her body will either fill with feel-good chemicals if you say a comforting lie, and feel-awful chemicals if you tell her an upsetting truth. So whatever you say will determine her mood for several hours, even if she doesn't remember why a few minutes later.
I'm sorry you and she are going through this. It's a cruel, cruel disease. And yes, I worry for myself every time I can't find a word.