The Bride of the Blue Wind — Victoria Goddard

What the gods want, they take. Sometimes the gods take a mortal to be their beloved. The stories say those left behind should rejoice. Pali's sister Sardeet was taken by the Lord of the Blue Wind-but there is something strange and terrible about the god, and Pali does not believe that justice is only for men. Through the gates of the eastern mountains pass only the gods, the dead, and the heroes of legend. Mere mortals do not go farther than the tombs lining the roads of the Middle Desert. But Pali is no ordinary young woman, and her sister is on the other side of the mountains.