I gotta tell you, I don't think your sister has a leg to stand on here. It makes no difference if she is a nanny, making a parenting decision like taking away a child's self-comfortt should be made by the PARENTS. If she had a concern, and she were a paid nanny, she should take it to the PARENTS first, not berate a child (and to an almost-five-year-old boy, being compared to a baby is the highest insult.) She had NO right to tell your son what she did, before talking to you first. When she pops out her own kiddos and sees that it's not exactly the same as even working with kids a lot, then she can make those decisions for herself.
I have an almost-five-year-old as well, and have asked his pediatrician, and my best friend (a school psychologist) if I should be trying to get him to stop sucking his fingers, and they both answered with a very emphatic NO.
Think about it, the amount of time your son has before he starts kindergarten is six months, or roughly a little more than 1/10 of his life. You know how different they are in six months! Look back to what your child was like at Halloween, and tell me, are there some things he does differently now? He has plenty of time to "big boy up" in time for kindergarten.
And telling him that he won't be allowed to suck his fingers in kindergarten is not necessary. What's the point in lying to him? They won't make him stop, but his friends very likely could tease him enough to get him to stop on his own.
And where are all these hairbrained rationalities coming from? I have a son who is six (in kindergarten) and one who is almost five (been in preschool until recently, starting kindergarten in the fall.) The oldest weaned himself as a baby, but the younger still sucks his fingers. My nephew (exactly the same age) sucks his thumb. My son's classmates, and my nephew's classmates, often do it, too (I've been there during naptime). He's not alone, and he'll almost certainly grow out of it just fine.
Tell sis to back off.