How can I help my sister break out of her celebrity fantasy?

Because I know very little about your sister apart from that she has infatuations with male celebrities, I can’t really help you with the psychology of her behaviour. I think you have perceived correctly that she is keeping herself safe from the reality of genuine relationships with all the inherent emotional ups and downs and possible pain by clinging to fantasy, but unless we know her reason for this avoidance, and there will be a reason, we are groping in the dark. Having said this, I think the best way you can help your sister is to recommend she see a counsellor, even if she sees nothing wrong with her behaviour, if only just to check in for a mental health assessment, as there is a possibility that depression or anxiety could be driving this fantasy life, and/or that your sister has had some negative experiences with men in her early life. Failing that, the best you can do is to be a friend to your sister, listen carefully and empathically when she shares with you about her life and issues, and be there for her if and when her fantasy world collapses.