What should we do about our brother’s wife who steals and lies, knowing that our brother will not believe us, and are we sinful for not telling him that, especially since she might not pray?

If your sister-in-law's lying and theft are proven with certainty, then you must advise her, caution her about Allah, and alert her husband to discipline and reform her. If she does not reform, then ask your brother to divorce her. Otherwise, do not live with her in the same house due to a lack of safety from her side. However, if your accusation is based on mere suspicion, then it is impermissible, for suspicion is a sin, and the fundamental principle for a Muslim is innocence.