She could, but didn't.
Presumably she was politically embarrassing.
She was officially sentenced for having committed adultery - against a foreign king. In a country that had long been not an ally, but a country England in particular and Britain in general had been on friendly footing with for several hundred years! A pretty impressive track record!
She had a child - that even then was considered likely to be Struensee's child.
She could hardly walk around at the British court - that would be a snub towards Denmark, as well as embarrassing for the British king and his family.
So what to do? Ship her off to the ancestral homelands of the BRF, the German principalities. Out of sight - out of mind...
And she had the good grace to die in an appropriately short time afterwards.
One really can't help feeling sorry for her, eh?