Even though they learned of the death of her aunt, surely there would still be someone there that could pay a small ransom. Both The Hound & Arya, and Sansa & Lord Baelish would recognize each other. At the very least, Arya would be safe, and The Hound would no longer need to feed or protect her. Later, The Hound told Brienne of Tarth that there is no safe place left for Arya, so why would he take her away from The Eyrie? They could have at least gotten food or rest, which would allow Arya to meet her sister Sansa, and likely cause her to stay for good. I'm referring to the TV show.
There are two reasons:
Nobody would recognize Arya if they went there. Arya never met someone from the Vale recently, so nobody could identify her. And it wasn't clear whether they would pay.
The bandits around the Vale have grown very strong. So during the journey it would be harder for him to protect her. SoS65
Furthermore, he doesn't go to the Riverlands and tries to sell her off there, because it was sieged at the time, so nobody could be distracted by a ransom.