Usually horses from a kill pen are quarantined for 30 days, as kill pens are notorious for spreading diseases, especially strangles and other respiratory ailments. Add in the fact that she's underweight and the stress of the long haul from Texas...she's bound to have some problems. Ideally, you should have her examined by a vet upon arrival.
If your barn has a quarantine stall and turnout, I'd go with that option vs straight turnout, so she can be brought in during wet cold weather. As for blanketing, yes, do so when needed.
Kudos to you for rescuing your horse.