The gifs under my signature belong to the monogatari series. The user jainaishot recommended it to me and I have been watching the movies and episodes at night. I really like it, it's very entertaining (and funny :P). If you want to watch this anime, you should start by watching the kizunomogatari trilogy first. :)
"The San'layn are a race of elves, lead by a host of 'vampiric blood elf princes' who appear to hold influential positions within the Scourge, often acting as ambassadors, overlords, and servants in direct contact with the Lich King."
Because she is a vampire, and vampires are undeads. Maybe, you are a bit confused because Mal'Ganis is considered a demon, but that is because he is a dreadlord, not a vampire (dreadlords are just demons with some vampiric abilities).
http://wowwiki.wikia.com/wiki/Blood-Queen_Lana'thel
"Blood-Queen Lana'thel is the leader of the San'layn, a sect of blood elves who were raised in undeath by the Lich King."
http://wowwiki.wikia.com/wiki/San'layn
"The San'layn are a race of elves, lead by a host of 'vampiric blood elf princes' who appear to hold influential positions within the Scourge, often acting as ambassadors, overlords, and servants in direct contact with the Lich King."
Because she is a vampire, and vampires are undeads. Maybe, you are a bit confused because Mal'Ganis is considered a demon, but that is because he is a dreadlord, not a vampire (dreadlords are just demons with some vampiric abilities).