You have told her no over other ridiculous things before, so it's not the actual saying no part, it's the fact that you have to and she keeps asking, and the gifts are ridiculous and over the top, but somehow she's mad at you for not wanting to do it.
You know, I have a SIL who consistently makes plans then drops them at the last minute. This includes coming to visit us, plans for the night we get into town visiting my in laws, even Christmas day plans. So my DH had already gotten used to this, but I had to learn to "make plans" but not actually consider them real plans. And now I go along with the game of making plans but not acting on them at least 50% of the time, and the other 50% of the time running late; it's just part of the relationship. However when plans are crazy or not going to work, we set boundaries about what is acceptable. SIL gets mad at us.
The point for you is, this might be something that your sister will never quit. She probably doesn't like you saying no, and won't ever like it. But you can say no, and if she gets really worked up about it just walk away from that conversation (hang up the phone) and don't let her guilt trip you about it. If you're feeling brave you can tell her you don't plan to get gifts together, because it doesn't fit in your budget. Lot's of people have left good scripts here for that. But if you're not willing to cross (burn?) that bridge, then this might be an aspect of the relationship you have to learn to live with and not let it stress you out. And get really good at saying no a lot.
ETA: spelling and formatting fails