OoT Zelda was blond, and correspondingly, Sheik is too.
Quote Originally Posted by Masahiro Sakurai
Sheik doesn’t appear in The Legend of Zelda: Twilight Princess, but we based her model on a design that was drafted up during the development of that game.
Her design is based off a mockup they were playing around with when they were making TP. So Brawl Zelda comes from two different worlds, fits perfectly with Legend of Zelda traditions.

I'd still prefer if they had split the two characters...but Zelda users need some way to compete with Zero Suit Samus' speed.