A little bit yes. I'd just tell the first party that, for whatever reason, you're not able to make it. Then, go to the second party.
If any of the parents ask, let them know that your daughter wasn't comfortable with the sleepover idea, and chose to go to the other party instead.
ETA: I'm not sure about your schools, but around where I live, if you're bringing invitations to school, you HAVE to have one for every child in the class. If you're not planning on inviting the whole class, then you have to do the invitations off of school grounds. But, the school will not give you contact information for certain parents so you CAN contact them off school grounds. It's SO hard to have parties for a select few anymore.