The last time someone seriously considered crossing the Sunset Sea was Elissa Farman. She took a year to build her ultra-ship using gold she got from selling three dragon eggs (absurdly expensive).
She had the best crew with her and support from the Hightowers who were the second best sea faring Lords after the Velaryons.
Arya clearly didn't have enough time or the gold for this kind of preparation. How does she expect to not just die in the middle of the sea?