。
I wonder where on earth she's gone.
Literal
She [topic-は] where [toward-へ] go-ended-up [explanatory-question-の-I wonder-かしら].
~てしまう adds finality and a hint of regret — she's gone and probably isn't coming back, or her absence is unexpected. かしら is feminine and somewhat dated, marking pondering rather than asking; men more often use かな for the same feel. The whole ending のかしら stacks the explanatory の onto the wondering かしら — 'as for the matter of where she went, I wonder.'