There isn't one single romantic moment between Wendy and Sherria in Fairy Tail. The most you'll find is them being good friends or protecting each other, something done by everyone between members of the same guild (Wendy joined Lamia scale for at least 1 year).
What is romance? Romance is for example Erza and Jellal. Erza was worried her body wasn't good enough for Jellal when she got shrunk. At another time they almost kissed while looking at each other lovestruck. Another less clear example is Lucy. She blushes because of Natsu, when she thought he liked her and she imagined themselves dating and was disappointed when she found out the truth. Juvia and Gray is another example. That is romance. Simply protecting each other is not romance, giving your life for your friends is the standard everyone follows in Fairy Tail, although they almost never die.
Some people say they're more than friends because there's a tweet where they are playing with water and there are other people that have been portrayed by Mashima to like each other.
The tweet is not canon.
As I see it, a good reason for her to be included there is that she's one of the main characters just like most of the others. It's not like they're doing anything romantic anyways. Erza and Juvia attack their men in a romantic way. Lucy and Gajeel attack their "potential" partner physically, something like teasing. Wendy and Sherria just play like normal friends.
Actually, I think I am overthinking it. Mashima's tweets/drawings outside the canon world usually lack common sense or are fanservice. He's drawn Natsu and Gray saying I love you, boys' love between Gray and Lyon, Lucy and Aquarious...
If you're looking at his tweets expecting everything to be a good representation of Fairy Tail you're up for big disappointments in the future. He likes mixing reality with illusion.