Sorry it took me so long to get back to you about the Wensleydale sheep and yarn in the U.S. I found two vendors of Wensleydale yarn and fleece. The first is from West Virginia:
RR1 Box 3352
Eglon, WV 26716
They have a 40sheep herd and sell the spun yarn for $18.50/250yds.
The second is a couple who now have a store in PA:
FLYING FIBERS - Jeri Robinson-Lawrence
406 Kathryn Court
Lancaster, PA 17603
DH and I took a field trip to Jeir's store the week after the festival. Its only 1 1/2hr drive and we made a day of it. Jeir has a lovely store and although she has Wenslydales in her herd and she spins and dyes herself; the Wensleydale yarn she sells comes from a supplier in England.
Jeri's prices have gone up since I last bought from her about three years ago at MD Sheep and Wool Festival. They went from $11/sk for DK weight to $17.80. She said the increase is because when her supplier went to auction for the Wensleydale, ROWAN YARN CO showed up and bid against them driving up the price. It seems that Rowan is going to be featuring a Rare Breeds section of their company and feature some of the more rare breeds of the UK. That's fine and good I suppose to keep these breeds going and prehaps that will lead to some good patterns but really to bad for us with the price! It will be interesting to see what Rowan does in their fall magazine.
I hope this was helpful. I am still just stroking the yarn I have; can't decide yet what to do with it.